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Persistence of Nominal and Real Variables under Fixed and Floating Exchange Rates: Evidence from Greece, 1954–1992[Note 1. An earlier version of this paper greatly benefited from ...]
Author(s) -
Kalyvitis Sarantis,
Lazaretou Sophia
Publication year - 1997
Publication title -
bulletin of economic research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.227
H-Index - 29
eISSN - 1467-8586
pISSN - 0307-3378
DOI - 10.1111/1467-8586.00032
Subject(s) - persistence (discontinuity) , econometrics , statistic , economics , series (stratigraphy) , mathematics , variable (mathematics) , range (aeronautics) , statistics , exchange rate , variance (accounting) , parametric statistics , rest (music) , macroeconomics , physics , paleontology , mathematical analysis , materials science , geotechnical engineering , accounting , engineering , composite material , biology , acoustics
This paper examines the persistence of Greek nominal and real variables under the Bretton Woods system and the post‐1975 floating rate system. Two non‐parametric measures of persistence are employed. The first is Cochrane's variance ratio test, put forward in 1988, which allows the decomposition of a series into a random walk and a stationary component; and the second is the modified rescaled range statistic, put forward by Lo in 1991, which tests for the existence of long‐term dependence. Empirical findings suggest that some of the variables under consideration exhibit a higher persistence under floating while for the rest of them the tests do not indicate any significant change.