Nonlinear dynamics of exchange rate returns: A multi-country experience

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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...

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Bibliographic Details
Main Authors:	Wali, Muammer, Chan, Felix, Manzur, Meher
Format:	Working Paper
Published:	School of Economics and Finance, Curtin Business School, Curtin University 2011
Subjects:	purchasing power parity outliers Exchange rate volatility
Online Access:	http://hdl.handle.net/20.500.11937/32786

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