Official and black market exchange rates in Brazil: a case of the iterated logarithm
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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.
Applied Financial Economics
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Bessler, David A||YU, HUI-KUANG