PERSISTENCE IN REAL VARIABLES UNDER ALTERNATIVE EXCHANGE-RATE REGIMES - SOME MULTICOUNTRY EVIDENCE

被引：2

作者：

CAPORALE, GM

KALYVITIS, S

PITTIS, N

机构：

[1] NATL INST ECON & SOCIAL RES, LONDON SW1P 3HE, ENGLAND

[2] ATHENS UNIV ECON & BUSINESS, DEPT INT & EUROPEAN ECON STUDIES, GR-10434 ATHENS, GREECE

[3] UNIV CYPRUS, DEPT ECON, NICOSIA, CYPRUS

[4] UNION BANK SWITZERLAND, ECON RES DEPT, ZURICH, SWITZERLAND

来源：

ECONOMICS LETTERS | 1994年 / 45卷 / 01期

关键词：

D O I：

10.1016/0165-1765(94)90064-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper we try to establish empirically whether a different degree of persistence is found in real variables under alternative nominal exchange rate systems. The measure of persistence employed is the modified rescaled range statistic proposed by Lo (Econometrica, 1991, 59, 1279-1313), which tests for the presence of long-range dependence after having accounted for a wide class of short memory processes. The empirical results indicate a systematic increase in persistence in real variables under floating.

引用

页码：93 / 102

页数：10

共 21 条

[1]

ALOGOSKOUFIS GS, 1991, AM ECON REV, V81, P1254

[2] MONETARY ACCOMMODATION, EXCHANGE-RATE REGIMES AND INFLATION PERSISTENCE [J].