Vilasuso, Jon; Cunningham, Steve - In: Studies in Nonlinear Dynamics & Econometrics 1 (1996) 3, pp. 155-168
This paper tests for nonlinearity in EMS exchange rates using the bispectrum. The early experience of the ERM witnessed numerous realignments. We find that exchange rates follow a linear process over the period 1979-1987, consistent with the predictions of the realignment target zone model,...
