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    Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?

    Access Status
    Fulltext not available
    Authors
    Wali, Muammer
    Chan, Felix
    Manzur, M.
    Date
    2017
    Type
    Journal Article
    
    Metadata
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    Citation
    Wali, M. and Chan, F. and Manzur, M. 2017. Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies? Journal of Asian Economics. 50: pp. 62-72.
    Source Title
    Journal of Asian Economics
    DOI
    10.1016/j.asieco.2017.04.002
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/63399
    Collection
    • Curtin Research Publications
    Abstract

    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.

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