investigação da memória de longo prazo na taxa de câmbio no brasil

Clicks: 57
ID: 245345
2006
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Abstract
Neste trabalho, é medida a evolução da memória de longo prazo da taxa de câmbio diária, Real contra Dólar dos Estados Unidos, no período de 1995 a 2004. Essa medição é realizada por meio da análise R/S clássica, com janela móvel de dados. O trabalho focaliza o abandono do regime de câmbio administrado em favor do de câmbio flutuante, ocorrido em 1999, identificando antipersistência da taxa de câmbio durante a vigência do primeiro regime e memória longa a partir do início da vigência do segundo regime. Mostra também evidência de memória longa para as volatilidades dos retornos das taxas analisadas.
This paper presents measures of long-range dependence in daily exchange rates of the Brazilian Real against the US Dollar, taken from 1995 to 2004 employing the classical R/S analysis with a rolling sample. It analyses the switch from a crawling peg exchange regime to a floating exchange regime, in 1999, finding antipersistence in the exchange rate during the first exchange regime, and long memory in the exchange rates along the second one. Also, it finds long memory for the exchange rates' volatilities along the whole period.
Reference Key
souza2006revistainvestigao Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Sergio R. S. Souza;Benjamin M. Tabak;Daniel O. Cajueiro
Journal langenbeck's archives of surgery
Year 2006
DOI
10.1590/S0034-71402006000200006
URL
http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402006000200006
Keywords
volatilidade análise r/seconomics as a science

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