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

    161947_39601_Nonlinearity Paper2011.pdf (643.2Kb)
    Access Status
    Open access
    Authors
    Wali, Muammer
    Chan, Felix
    Manzur, Meher
    Date
    2011
    Type
    Working Paper
    
    Metadata
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    Citation
    Wali, Muammer and Chan, Felix and Manzur, Meher. 2011. Nonlinear dynamics of exchange rate returns: A multi-country experience; School of Economics and Finance Working Paper Series: no. 201103, Curtin University, School of Economics and Finance.
    School
    Department of Economics
    URI
    http://hdl.handle.net/20.500.11937/32786
    Collection
    • Curtin Research Publications
    Abstract

    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.

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