Long Memory Analysis of USD/TRL Exchange Rate

Alptekin N.

Conference of the World-Academy-of-Science-Engineering-and-Technology, Vienna, Avusturya, 25 - 27 Mayıs 2007, cilt.21, ss.298-300 identifier

  • Yayın Türü: Bildiri / Tam Metin Bildiri
  • Cilt numarası: 21
  • Basıldığı Şehir: Vienna
  • Basıldığı Ülke: Avusturya
  • Sayfa Sayıları: ss.298-300
  • Anahtar Kelimeler: Long memory, Hurst exponent, KPSS statistic, Modified R/S statistic, V/S statistic, COMMON-STOCK RETURNS, DEPENDENCE
  • Anadolu Üniversitesi Adresli: Evet

Özet

The characterization of real exchange rate series as random in nature has been questioned in recent times by the application of some new statistical tools. This paper analysis long memory of foreign exchange rate US Dollar (USD) against the New Turkish Lira (TRL). The KPSS statistic, the Modified R/S statistic and the modified variance V/S statistic are used to detect long memory property of the series. Application of these tests suggests that USD/TRL real exchange rate movement shows evidence of long memory.