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 |
| _version_ | 1848753760220741632 |
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| author | Wali, Muammer Chan, Felix Manzur, Meher |
| author_facet | Wali, Muammer Chan, Felix Manzur, Meher |
| author_sort | Wali, Muammer |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 residuals from both structural and time series models of exchange rates. The results also indicate that standard serial correlation test alone may not be useful to validate correct model specification as it has low power against nonlinear behavior in the residuals. |
| first_indexed | 2025-11-14T08:29:38Z |
| format | Working Paper |
| id | curtin-20.500.11937-32786 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:29:38Z |
| publishDate | 2011 |
| publisher | School of Economics and Finance, Curtin Business School, Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-327862017-01-30T13:33:04Z Nonlinear dynamics of exchange rate returns: A multi-country experience Wali, Muammer Chan, Felix Manzur, Meher purchasing power parity outliers Exchange rate volatility 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 residuals from both structural and time series models of exchange rates. The results also indicate that standard serial correlation test alone may not be useful to validate correct model specification as it has low power against nonlinear behavior in the residuals. 2011 Working Paper http://hdl.handle.net/20.500.11937/32786 School of Economics and Finance, Curtin Business School, Curtin University fulltext |
| spellingShingle | purchasing power parity outliers Exchange rate volatility Wali, Muammer Chan, Felix Manzur, Meher Nonlinear dynamics of exchange rate returns: A multi-country experience |
| title | Nonlinear dynamics of exchange rate returns: A multi-country experience |
| title_full | Nonlinear dynamics of exchange rate returns: A multi-country experience |
| title_fullStr | Nonlinear dynamics of exchange rate returns: A multi-country experience |
| title_full_unstemmed | Nonlinear dynamics of exchange rate returns: A multi-country experience |
| title_short | Nonlinear dynamics of exchange rate returns: A multi-country experience |
| title_sort | nonlinear dynamics of exchange rate returns: a multi-country experience |
| topic | purchasing power parity outliers Exchange rate volatility |
| url | http://hdl.handle.net/20.500.11937/32786 |