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Asymmetry In The Ems: New Evidence Based On Non-Linear Forecasts

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Author Info

  • Óscar Bajo Rubio

    (Departamento de Economía-UPNA)

  • Simón Sosvilla Rivero

    (FEDEA and Universidad Complutense de Madrid)

  • Fernando Fernández Rodríguez

    (Universidad de Las Palmas de Gran Canaria)

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

Paper provided by Departamento de Economía - Universidad Pública de Navarra in its series Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra with number 0001.

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Length: 52 pages
Date of creation: 2000
Date of revision:
Publication status: Published in
Handle: RePEc:nav:ecupna:0001

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Related research

Keywords: Interest rates; European Monetary System; Non-linear forecasting;

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References

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  26. Óscar Bajo Rubio & Simón Sosvilla Rivero & Fernando Fernández Rodríguez, 2000. "Asymmetry In The Ems: New Evidence Based On Non-Linear Forecasts," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 0001, Departamento de Economía - Universidad Pública de Navarra.
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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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