Detecting and Modelling Nonlinearity in Flexible Exchange Rate Time Series  

Oleh:

Chiarella, Carl ; Peat, Maurice ; Stevenson, Max

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: Asia Pacific Journal of Management vol. 11 no. 2 (Okt. 1994), page 159-186.
Fulltext: Carl Chiarella.pdf (34.64KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: AA66 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

An analysis tests for general and specific forms of nonlinearity using monthly, weekly, and daily realizations of 7 flexible exchange rate series, as well as 2 simulated series from the Chiarella (1990) theoretical model of exchange rate dynamics. The analysis uses a number of established and recent innovations for testing nonlinearity in time series. Significant forms of nonlinear behavior are found for most realizations of all exchange rate series, although the level of significance and type of nonlinearity vary from one realization of a certain frequency to the next and over the different exchange rates. For the simulated series, the BDS tests of Brock, Dechert, and Scheinkman (1987) indicate that the series which in its noiseless form exhibits a stable limit cycle is best represented by a nonlinear model. The same test favors a linear model for the 2nd simulated series that in its noiseless form converges from an asymptotic stability in its steady state.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali