search query: @author Sosvilla-Rivero, S. / total: 1
reference: 1 / 1
« previous | next »
| Author: | Bajo-Rubio, O. Sosvilla-Rivero, S. Fernandez-Rodriguez, F. |
| Title: | Asymmetry in the EMS: New evidence based on non- linear forecasts |
| Journal: | European Economic Review
2001 : MAR, VOL. 45:3, p. 451-473 |
| Index terms: | INTEREST RATES EUROPEAN MONETARY SYSTEM NON-LINEAR MODELS FORECASTING |
| Language: | eng |
| Abstract: | In this paper the authors provide new evidence on the hypothesis of German leadership and asymmetric performance in the EMS, in the framework of causality tests, using daily data. Given the evidence about non- linearity in financial series, the authors propose applying non-linear forecasting methods based on the literature on complex dynamic systems. The authors' analysis covers nine countries, and the sample period runs until 30 April 1998, so including the more recent events in the EMS history. A comparison of the authors' results with those obtained from standard linear econometric techniques leads the authors to conclude that inference on causality based on the authors' non-linear predictors would be preferable to that based on the standard linear approach. |
« previous | next »
SCIMA