TY - JOUR
T1 - R/S analysis of foreign exchange rates under two international monetary regimes
AU - Booth, G. Geoffrey
AU - Kaen, Fred R.
AU - Koveos, Peter E.
PY - 1982
Y1 - 1982
N2 - The purpose of this study is to examine empirically the behavior of foreign exchange markets during the most recent experiences with fixed and flexible rates. Specifically, this study explores the possibility that long-term dependence is present in the exchange rate series for the British pound, French franc, and German mark in terms of the U.S. dollar. Using R/S analysis, positive long-term dependence is uncovered for each exchange rate during the flexible regime but negative dependence is found in the fixed period.
AB - The purpose of this study is to examine empirically the behavior of foreign exchange markets during the most recent experiences with fixed and flexible rates. Specifically, this study explores the possibility that long-term dependence is present in the exchange rate series for the British pound, French franc, and German mark in terms of the U.S. dollar. Using R/S analysis, positive long-term dependence is uncovered for each exchange rate during the flexible regime but negative dependence is found in the fixed period.
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U2 - 10.1016/0304-3932(82)90035-6
DO - 10.1016/0304-3932(82)90035-6
M3 - Article
AN - SCOPUS:0000682805
SN - 0304-3932
VL - 10
SP - 407
EP - 415
JO - Journal of Monetary Economics
JF - Journal of Monetary Economics
IS - 3
ER -