Enhancing the forecasting power of exchange rate models by introducing nonlinearity: Does it work?

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Enhancing the forecasting power of exchange rate models by introducing nonlinearity: Does it work?

It is demonstrated that the forecasting power of the flexible price monetary model of exchange rates can be enhanced by introducing dynamics through the use of a linear error correction specification. However, the introduction of nonlinearity, by using a polynomial in the error correction term, does...

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Bibliographic Details
Main Authors:	Burns, Kelly, Moosa, I.
Format:	Journal Article
Published:	Elsevier BV * North-Holland 2015
Subjects:	Exchange rate models Random walk Nonlinearity Forecasting
Online Access:	http://hdl.handle.net/20.500.11937/28335

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