Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?
This paper provides a comparative review of the dynamic characteristics of monthly exchange rate changes for five major currencies relative to those of five emerging Asian economies over the last four decades. Using the British pound sterling as the numeraire currency, the data support nonlinear dep...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/63399 |
| _version_ | 1848761078450749440 |
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| author | Wali, Muammer Chan, Felix Manzur, M. |
| author_facet | Wali, Muammer Chan, Felix Manzur, M. |
| author_sort | Wali, Muammer |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This paper provides a comparative review of the dynamic characteristics of monthly exchange rate changes for five major currencies relative to those of five emerging Asian economies over the last four decades. Using the British pound sterling as the numeraire currency, the data support nonlinear dependence in exchange rates for the less-liquid Asian currencies, while results for the major currencies are mixed. The more recent data indicate rejection of nonlinear dependence in major currencies. |
| first_indexed | 2025-11-14T10:25:57Z |
| format | Journal Article |
| id | curtin-20.500.11937-63399 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:25:57Z |
| publishDate | 2017 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-633992019-07-11T06:49:55Z Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies? Wali, Muammer Chan, Felix Manzur, M. This paper provides a comparative review of the dynamic characteristics of monthly exchange rate changes for five major currencies relative to those of five emerging Asian economies over the last four decades. Using the British pound sterling as the numeraire currency, the data support nonlinear dependence in exchange rates for the less-liquid Asian currencies, while results for the major currencies are mixed. The more recent data indicate rejection of nonlinear dependence in major currencies. 2017 Journal Article http://hdl.handle.net/20.500.11937/63399 10.1016/j.asieco.2017.04.002 Elsevier restricted |
| spellingShingle | Wali, Muammer Chan, Felix Manzur, M. Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies? |
| title | Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies? |
| title_full | Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies? |
| title_fullStr | Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies? |
| title_full_unstemmed | Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies? |
| title_short | Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies? |
| title_sort | nonlinear dependence in exchange rate returns: how do emerging asian currencies compare with major currencies? |
| url | http://hdl.handle.net/20.500.11937/63399 |