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Asymmetry in the EMS: New evidence based on non-linear forecasts

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  • Bajo-Rubio, Oscar
  • Sosvilla-Rivero, Simon
  • Fernandez-Rodriguez, Fernando

Abstract

In this paper we provide new evidence on the hypothesis of German leadership and asymmetric performance in the EMS, in the framework of causality tests, using daily data. Given the evidence about non-linearity in financial series, we propose applying non-linear forecasting methods based on the literature on complex dynamic systems. Our analysis covers nine countries, and the sample period runs until 30 April 1998, so including the more recent events in the EMS history. A comparison of our results with those obtained from standard linear econometric techniques leads us to conclude that inference on causality based on our non-linear predictors would be preferable to that based on the standard linear approach.

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Bibliographic Info

Article provided by Elsevier in its journal European Economic Review.

Volume (Year): 45 (2001)
Issue (Month): 3 (March)
Pages: 451-473

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Handle: RePEc:eee:eecrev:v:45:y:2001:i:3:p:451-473

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  1. Mehr Europa: Du mußt es dreimal sagen
    by Alberto Bagnai in Goofynomics on 2012-06-03 22:07:00
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