search query: @indexterm EXCHANGE RATES / total: 1242
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| Author: | McMillan, D. G. Black, A. J. |
| Title: | Nonlinear Error Correction in Spot and Forward Exchange Rates |
| Journal: | Weltwirtschaftliches Archiv
2001 : VOL. 137:4, p. 737-750 |
| Index terms: | ERROR CORRECTION MODELS EXCHANGE RATES ECONOMICS |
| Language: | eng |
| Abstract: | A series of recent papers has examined both real and nominal exchange rates for the existence of possible threshold effects. In general this programme of research has found affirmative evidence of threshold effects within exchange rate series. This paper takes a slightly different line of enquiry by examining not whether individual series are non-linear, but whether there is non-linear adjustment back to equilibrium in a system of spot and forward exchange rates, more specifically, a significant non-linear form of the error-correction term in an error- correction model for spot and forward exchange rates and whether this can improve both the in-sample fit and out-of-sample forecasting performance of the error-correction model. |
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