Long Memory Analysis of USD/TRL Exchange Rate

Alptekin N.

Conference of the World-Academy-of-Science-Engineering-and-Technology, Vienna, Austria, 25 - 27 May 2007, vol.21, pp.298-300 identifier

  • Publication Type: Conference Paper / Full Text
  • Volume: 21
  • City: Vienna
  • Country: Austria
  • Page Numbers: pp.298-300
  • Keywords: Long memory, Hurst exponent, KPSS statistic, Modified R/S statistic, V/S statistic, COMMON-STOCK RETURNS, DEPENDENCE
  • Anadolu University Affiliated: Yes

Abstract

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.