Nonlinear dynamics of exchange rate returns: A multi-country experience
This paper examines the presence of nonlinear behavior in exchange rates of 31 countries, majority of which are less liquid in the foreign exchange market and maintain a floating exchange rate system. The results, based on formal test procedures, provide evidence of nonlinear behavior in the residua...
| Main Authors: | , , |
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| Format: | Working Paper |
| Published: |
School of Economics and Finance, Curtin Business School, Curtin University
2011
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/32786 |