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Pattern of fluctuations in the exchange rate change from fixed to floating, in Brazil, Argentina and Mexico

Author

Listed:
  • Marcus F. da Silva

    (Instituto Federal da Bahia)

  • Eder Johnson de Area Leão Pereira

    (Federal Institute of Maranhão)

  • Idaraí Santos de Santana

    (Secretaria of Education State of Bahia)

  • José Garcia Vivas Miranda

    (Federal University of Bahia)

Abstract

This study evaluates the reaction of exchange market, in a macroeconomic point of view, with new information came from the change of regime from fixed to floating in local currencies in Brazil, Argentina and Mexico. So, we used the method RMS (Root Mean Square), which estimates the Hurst exponent of the considered series. The Hurst exponent is a measure that is associated with macroeconomic properties such as market efficiency. The results show a pattern in the efficiency tendency of these markets that is associated with an initial drop to anti-persistent H values, followed by a rapid rise to persistence in the exact moment of regime change, also by a period of stability in persistence. This period of stability ends at the efficient market behavior (H=0.5). The average time between regime change and the efficiency was about a year for all countries considered.

Suggested Citation

  • Marcus F. da Silva & Eder Johnson de Area Leão Pereira & Idaraí Santos de Santana & José Garcia Vivas Miranda, 2013. "Pattern of fluctuations in the exchange rate change from fixed to floating, in Brazil, Argentina and Mexico," Economics Bulletin, AccessEcon, vol. 33(2), pages 1547-1555.
    • Handle: RePEc:ebl:ecbull:eb-13-00213
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Hurst exponent; Efficiency; Fixed rate; Floating exchange rate;
    All these keywords.

    JEL classification:

    • A1 - General Economics and Teaching - - General Economics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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