ASYMMETRY IN THE EMS: NEW EVIDENCE BASED ON NON-LINEAR FORECASTS

Oscar Bajo-Rubio (), Simon Sosvilla-Rivero () and Fernando Fernández Rodríguez
Additional contact information
Fernando Fernández Rodríguez: Universidad de Las Palmas de Gran Canaria

No 1, Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra from Departamento de Economía - Universidad Pública de Navarra

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.

Keywords: Interest rates; European Monetary System; Non-linear forecasting (search for similar items in EconPapers)
JEL-codes: C53 E43 F33 (search for similar items in EconPapers)
Date: 2000
View list of references View citations in EconPapers

Published in

Downloads: (external link)
ftp://ftp.econ.unavarra.es/pub/DocumentosTrab/DT0001.PDF (application/pdf)

Related works:
Working Paper: Asymmetry in the EMS: New evidence based on non-linear forecasts
Journal Article: Asymmetry in the EMS: New evidence based on non-linear forecasts (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:nav:ecupna:0001

Ordering information: This working paper can be ordered from
Papers are not sent in a centralized mode. You can download them with ftp, or contact the authors.

Access Statistics for this paper

More papers in Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra from Departamento de Economía - Universidad Pública de Navarra
Address: Campus de Arrosadía - 31006 Pamplona (Spain)
Series data maintained by Javier Puértolas ().