Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil

Sergio Souza, Benjamin Tabak and Daniel Cajueiro

No 113, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: 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.

Date: 2006-08
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Journal Article: Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:113

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