Memoria larga en el tipo de cambio nominal: Evidencia internacional

Translated title of the contribution: Exchange rate long memory: International evidence

Héctor F. Salazar Núñez, Francisco Venegas Martínez

Research output: Contribution to journalArticlepeer-review

7 Scopus citations

Abstract

This paper examines the dynamics of the exchange rate against the American dollar for several economies,developed and developing, in order to find evidence of long memory in the period 1971-2012. To do this,we apply the tests: Hurst coefficient, correlogram, variance graphic, Geweke and Porter-Hudak and the localWhittle estimator of Robinson. In this regard, Chile, China, Iceland, Israel, Mexico and Turkey presentedevidence of long memory based on robust tests and, therefore, it was estimated for them an autoregressiveintegrated moving average model in the domains of time and frequency. In the time domain, we used themaximum likelihood method (Sowell, 1992), and in the frequency domain we apply the technique from Foxand Taqqu (1986). The results from the autoregressive integrated moving average model show that Chile,China, Iceland and Mexico have evidence of long memory in the exchange rate; the estimation method thatpresented the best fit to the original curve was the exact maximum likelihood method according to criteriaAkaike information.

Translated title of the contributionExchange rate long memory: International evidence
Original languageSpanish
Pages (from-to)615-630
Number of pages16
JournalContaduria y Administracion
Volume60
Issue number3
DOIs
StatePublished - 1 Jul 2015

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