Search Results - subject:"nonlinear adjustment"

Akdoğan, Kurmaş; Chadwick, Meltem Gülenay - In: Emerging Markets Finance and Trade 49 (2013) 3, pp. 6-19

Theoretically, the risk premium captured by credit default swap (CDS) and bond yield spreads should be equal. However, data reveals a significant difference between the two spreads. The authors explore the presence of mean-reverting behavior in this difference (CDS-bond basis) in selected...

Persistent link: https://www.econbiz.de/10010685110

Exchange Rates and Fundamentals: Is there a Role for Nonlinearities in Real Time?

Aksoy, Yunus; Akdogan, Kurmas - Society for Computational Economics - SCE - 2006

We examine out of sample predictive power of real time monetary models with nonlinear adjustment in forecast errors for … vintages short term forecastability in the form of discrete nonlinear adjustment. We also document long term forecastability in … the form of smooth nonlinear adjustment towards fundamentals determined equilibrium value of exchange rates …

Persistent link: https://www.econbiz.de/10005537456