De Facto Exchange Rate Regime in Korea: Is It Still A Dollar Peg?
نویسندگان
چکیده
منابع مشابه
Is the dollar/ECU exchange rate a random walk?
Monthly data on the $US/ECU exchange rate are analysed in light of the random walk hypothesis. A battery of tests, including procedures that are robust to conditional heteroscedasticity, are applied against linear alternatives to departures from the random walk. These tests are all based on the sample autocorrelations of the series of first differences of the logarithm of the monthly exchange r...
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ABSRTRACT This paper exmines evidence of long-term memory in the yen/dollar price change as well as in the daily estimate of volatility of the exchange rate series. The methodology used is due to Lo (1989) which is robust to the presence of heteroscedasticity and is applied to a ten year data set. The result shows no evidence of long-term memory in the price change series indicating efficient p...
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ژورنال
عنوان ژورنال: East Asian Economic Review
سال: 2002
ISSN: 2508-1640,2508-1667
DOI: 10.11644/kiep.jeai.2002.6.1.90