PERSISTENCE IN REAL VARIABLES UNDER ALTERNATIVE EXCHANGE-RATE REGIMES- SOME MULTICOUNTRY EVIDENCE

In this paper we try to establish empirically whether a different degr ee of persistence is found in real variables under alternative nominal exchange rate systems. The measure of persistence employed is the mod ified rescaled range statistic proposed by Lo (Econometrica, 1991, 59, 1279-1313), which tests for the presence of long-range dependence aft er having accounted for a wide class of short memory processes. The em pirical results indicate a systematic increase in persistence in real variables under floating.