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| Author: | Peel, D. Speight, A. |
| Title: | Testing for non-linear dependence in inter-war exchange rates |
| Journal: | Weltwirtschaftliches Archiv
1994 : VOL. 130:2, p. 391-417 |
| Index terms: | EXCHANGE RATES NON-LINEAR MODELS ECONOMICS |
| Language: | eng |
| Abstract: | Recent theoretical debate has been primarily concerned with the relationship between fundamentals and spot exchange rates under different exchange rate regimes, in particular, with a linear relationship under floating exchange rates and a non-linear relationship under target zone systems of exchange rates. However, theoretical models also exist which suggest non-linearity in the time series processes characterizing spot exchange rates under floating and managed floating regimes. |
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