Persistência da taxa de câmbio real: um estudo a partir do estimador local de Whittle

Abstract:

Since 1973, the widespread adoption of floating exchange rates amongst regimes, coupled with the opening of trade and greater financial integration between countries on a global level, has increased the volatility of the exchange rate. Therefore, it is difficulty to support the hypothesis of purchasing power parity. In this context, this study investigates the possibility of a decrease in the persistence of real exchange rates before and after the intensification of trade and financial integration among economies. Based on monthly data for twenty countries, the hypothesis of change in persistence is tested using the estimation of the fractional coefficient d for two periods: 1975-1994 and 1995-2011. Employing a robust estimator relative to conditional heteroskedasticity, the study can provide more reliable evidence on the stationarity of the real exchange rate. The results suggest no significant change in the persistence of the real exchange rate which is still nonstationary.

Keywords:
purchasing power parity; persistence; fractional integration; real exchange rate