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| Author: | Ma, Y. Kanas, A. |
| Title: | Testing for a nonlinear relationship among fundamentals and exchange rates in the ERM |
| Journal: | Journal of International Money and Finance
2000 : FEB, VOL. 19:1, p. 135-152 |
| Index terms: | TESTS EXCHANGE RATES FINANCE |
| Language: | eng |
| Abstract: | The authors employ two nonparametric nonlinear testing methodologies, namely a nonparametric nonlinear cointegration approach and a nonlinear Granger causality approach, to test for a nonlinear relationship between macroeconomic fundamentals and exchange rates for two country-pairs, namely the Netherlands-Germany and France- -Germany. The results suggest that there is nonlinear cointegration among money, output and exchange rates for Netherlands-Germany. |
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