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An approximate entropy approach to examine the non-linear dependence in daily Indian exchange rates

Kumar, Manish - In: International Journal of Monetary Economics and Finance 4 (2011) 3, pp. 309-325

The purpose of the study is to examine whether the returns and volatility for Indian exchange rates possess non … statistics to test for non-linearity. The empirical results provide the evidence of strong non-linear dependence in the Indian … exchange rate returns and volatility and also that is time-varying. The results also suggest that the GARCH model, which has …

Persistent link: https://www.econbiz.de/10009352493

Energy prices and exchange rates of the U.S. dollar: Further evidence from linear and nonlinear causality analysis

Wang, Yudong; Wu, Chongfeng - In: Economic Modelling 29 (2012) 6, pp. 2289-2297

evidence indicates that both volatility spillover and regime shift contribute to nonlinear causality and the explanation power …

Persistent link: https://www.econbiz.de/10010588232

Testing for nonlinearity of the relationship between stock prices and exchange rate in Romania

Saman, Corina - Institutul de Prognoza Economica, Institutul National … - 2014

The aim of this paper is to test the nonlinearity of the relation between the stock price in Romania and the nominal …

Persistent link: https://www.econbiz.de/10011082312

Do Currency Fundamentals Matter for Currency Speculators?

Nozaki, Masahiro - International Monetary Fund (IMF) - 2010

The answer seems affirmative. We compare currency carry trades with an investment strategy based on currency fundamentals: taking a long (short) position in undervalued (overvalued) currencies. Carry trades have high risk-adjusted returns, but are subject to "crash risk." In contrast, the...

Persistent link: https://www.econbiz.de/10008519510

Modeling and Predicting the EUR/USD Exchange Rate: The Role of Nonlinear Adjustments to Purchasing Power Parity

Cuaresma, Jesús Crespo; Orthofer, Anna - In: Monetary Policy & the Economy (2010) 2, pp. 64-76

Reliable medium-term forecasts are essential for forward-looking monetary policy decisionmaking. Traditionally, predictions of the exchange rate tend to be linked to the equilibrium concept implied by the purchasing power parity (PPP) theory. In particular, the traditional benchmark for exchange...

Persistent link: https://www.econbiz.de/10008527035

A century of PPP: supportive results from nonlinear unit root tests

Bahmani-Oskooee, Mohsen; Kutan, Ali M.; Zhou, Su - In: Global Business and Economics Review 11 (2009) 1, pp. 19-27

In this paper, we test Purchasing Power Parity (PPP) by applying a new unit root test that allows for nonlinearity in …

Persistent link: https://www.econbiz.de/10008538876

Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates

Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003

This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the …

Persistent link: https://www.econbiz.de/10005769039

Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes

Sarno, Lucio; Wohar, Mark - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005132913

Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle

Valente, Giorgio; Leon, H. L.; Sarno, Lucio - International Monetary Fund (IMF) - 2006

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...

Persistent link: https://www.econbiz.de/10005604790

Time-Varying Thresholds; An Application to Purchasing Power Parity

Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003

This paper introduces a time-varying threshold autoregressive model (TVTAR), which is used to examine the persistence of deviations from PPP. We find support for the stationary TVTAR against the unit root hypothesis; however, for some developing countries, we do not reject the TVTAR with a unit...

Persistent link: https://www.econbiz.de/10005604859