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Non-Linearities in Exchange Rates

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Author Info
Clements, M.P.
Smith, J.

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Abstract

We consider the forecasting performance of two SETAR exchange rate models proposed by Krager and Kugler (1993). Assuming that the models are good approximations to the data generating process, we show that whether the non-linearities inherent in the datacan be exploited to forecast better than a random walk depends on both how forecast accuracy is assessed and on the 'state of nature'.

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Publisher Info
Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 504.

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Length: 12 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:wrk:warwec:504

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Related research
Keywords: EXCHANGE RATE;

Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange

Cited by:
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  1. G. Ascari & Emanuela Marrocu, 2003. "Forecasting inflation: a comparison of linear Phillips curve models and nonlinear time serie models," Working Paper CRENoS 200307, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
  2. Gianna Boero & Emanuela Marrocu, 1999. "Modelli non lineari per i tassi di cambio: un confronto previsivo," Working Paper CRENoS 199914, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
  3. Liew Khim Sen & Ahmad Zubaidi Baharumshah, 2003. "How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models," GE, Growth, Math methods 0307004, EconWPA. [Downloadable!]
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