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dc.contributor.authorWali, Muammer
dc.contributor.authorChan, Felix
dc.contributor.authorManzur, Meher
dc.identifier.citationWali, 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.

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.

dc.publisherSchool of Economics and Finance, Curtin Business School, Curtin University
dc.subjectpurchasing power parity
dc.subjectExchange rate volatility
dc.titleNonlinear dynamics of exchange rate returns: A multi-country experience
dc.typeWorking Paper
dcterms.source.seriesSchool of Economics and Finance Working Paper Series
curtin.departmentDepartment of Economics
curtin.accessStatusOpen access

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