SciELO - Scientific Electronic Library Online

 
vol.60 issue3A minimum variance benchmark to measure the performance of pension funds in MexicoThe Okun's Law and the labor flexibility in Mexico: A cointegration analysis, 1997Q3-2014Q1 author indexsubject indexsearch form
Home Pagealphabetic serial listing  

Services on Demand

Journal

Article

Indicators

Related links

  • Have no similar articlesSimilars in SciELO

Share


Contaduría y administración

Print version ISSN 0186-1042

Abstract

SALAZAR NUNEZ, Héctor F.  and  VENEGAS MARTINEZ, Francisco. Exchange rate long memory: International evidence. Contad. Adm [online]. 2015, vol.60, n.3, pp.615-630. ISSN 0186-1042.  http://dx.doi.org/10.1016/j.cya.2015.05.007.

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 local Whittle estimator of Robinson. In this regard, Chile, China, Iceland, Israel, Mexico and Turkey presented evidence of long memory based on robust tests and, therefore, it was estimated for them an autoregressive integrated moving average model in the domains of time and frequency. In the time domain, we used the maximum likelihood method (Sowell, 1992), and in the frequency domain we apply the technique from Fox and 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 that presented the best fit to the original curve was the exact maximum likelihood method according to criteria Akaike information.

Keywords : Exchange rate; International finance; Econometric methods; Long memory.

        · abstract in Spanish     · text in Spanish     · Spanish ( pdf )