Pattern of fluctuations in the exchange rate change from fixed to floating, in Brazil, Argentina and Mexico

Marcus da Silva (), Eder Johnson de Area Pereira, Idaraí Santos de Santana () and José Garcia Vivas Miranda ()
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Marcus da Silva: Instituto Federal da Bahia
Idaraí Santos de Santana: Secretaria of Education State of Bahia
José Garcia Vivas Miranda: Federal University of Bahia

Economics Bulletin, 2013, vol. 33, issue 2, 1547-1555

Abstract: This study evaluates the reaction of exchange market, in a macroeconomic point of view, with new information came from the change of regime from fixed to floating in local currencies in Brazil, Argentina and Mexico. So, we used the method RMS (Root Mean Square), which estimates the Hurst exponent of the considered series. The Hurst exponent is a measure that is associated with macroeconomic properties such as market efficiency. The results show a pattern in the efficiency tendency of these markets that is associated with an initial drop to anti-persistent H values, followed by a rapid rise to persistence in the exact moment of regime change, also by a period of stability in persistence. This period of stability ends at the efficient market behavior (H=0.5). The average time between regime change and the efficiency was about a year for all countries considered.

Keywords: Hurst exponent; Efficiency; Fixed rate; Floating exchange rate (search for similar items in EconPapers)
JEL-codes: A1 C1 (search for similar items in EconPapers)
Date: 2013-06-19
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