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Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?

Muammer Wali, Felix Chan () and Meher Manzur

Journal of Asian Economics, 2017, vol. 50, issue C, 62-72

Abstract: This paper provides a comparative review of the dynamic characteristics of monthly exchange rate changes for five major currencies relative to those of five emerging Asian economies over the last four decades. Using the British pound sterling as the numeraire currency, the data support nonlinear dependence in exchange rates for the less-liquid Asian currencies, while results for the major currencies are mixed. The more recent data indicate rejection of nonlinear dependence in major currencies.

Keywords: Purchasing power parity; Nonlinear adjustment; Structural change; Outliers (search for similar items in EconPapers)
JEL-codes: C14 C22 C32 F31 G15 (search for similar items in EconPapers)
Date: 2017
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