Official and black market exchange rates in Brazil: a case of the iterated logarithm

abstract

• We consider transformations of monthly black market and official exchange rates between the Brazilian cruzeiro and the US dollar over the period 1973-1989. Applying Mosteller and Tukey's idea of straightening transformations we find first differences of a log log transformation of levels of both series yield mean and covariance stationary data. These series are cointegrated. Tests of equality of the cointegrating parameters are rejected, while tests on equality of speed of adjustment of each transformed series to perturbations in the cointegrating equilibrium are not rejected. 1994, Taylor & Francis Group, LLC. All rights reserved.

authors

• Bessler, David

published proceedings

• Applied Financial Economics

author list (cited authors)

• Bessler, D. A., & YU, H.

citation count

• 4

complete list of authors

• Bessler, David A||YU, HUI-KUANG

publication date

• June 1994

publisher

• Taylor & Francis  Publisher

published in

• Applied Financial Economics  Journal

Digital Object Identifier (DOI)

• 10.1080/758526901

start page

• 207

end page

• 216

volume

• 4

issue

• 3

URL

• http://dx.doi.org/10.1080/758526901