Long memory in the R$ / US$ exchange rate: A robust analysis

Márcio Laurini and Marcelo Savino Portugal

Brazilian Review of Econometrics, 2004, vol. 24, issue 1

Abstract: This article shows that the evidence of long memory for the daily R$ /US$ exchange rate series after the implementation of the Real Plan is not robust when we analyze the existence of structural breaks in this series. We demonstrate that the long memory observed is caused by changes in the structure of variance, captured by a Markov Switching model in all the parameters. A Monte Carlo study shows that the long memory structure can be induced by changes in the unconditional variance parameters, and that the data generating mechanism is a short memory process.

Date: 2004
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Working Paper: Long Memory int the R$/US$ Exchange Rate: A Robust Analysis (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:sbe:breart:v:24:y:2004:i:1:a:2705

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