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Nonlinear behaviour of EMBI index:the case of eastern European countries

  • Christian Espinosa

    ()

    (Facultad de Economía y Empresa, Universidad Diego Portales)

  • Juan Gorigoitía
  • Carlos Maquieira

Considering the time period from September 2000 to September 2010, we study the nonlinear behaviour of the EMBI index for six emerging Eastern European countries,. Applying the Hinich portmanteau bicorrelation test, the BDS test, the Engle test and Wavelet theory, we observe systematic nonlinear structure in the Embi index at different frequencies. We find evidence that the nonlinearity in full windows is a process that begins from higher and medium frequencies moving towards lower frequencies, that is, from the short term to the long term. Upon analysing the complete series we found windows with evidence of nonlinearity in complete frequency periods, in high frequencies of previous windows that disappear at least one period before, and in high frequencies for periods following a nonlinearity window that do not immediately disappear but maintain part of that nonlinearity in high frequencies in one or more subsequent periods.

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File URL: http://www.udp.cl/descargas/facultades_carreras/economia/pdf/documentos_investigacion/wp_37_NonlinearbehaviourofEmbiforEasternEurope.pdf
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Paper provided by Facultad de Economía y Empresa, Universidad Diego Portales in its series Working Papers with number 37.

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Date of creation: Oct 2012
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Handle: RePEc:ptl:wpaper:37
Contact details of provider: Web page: http://www.udp.cl

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