Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990

Michael Funke, Stephen Hall and Martin Sola

International Journal of Finance & Economics, 1997, vol. 2, issue 1, 29-37

Abstract: This paper tests the properties of the zloty-dollar exchange rate for the possible presence of unknown non-linearities. It concludes that there is strong evidence for the presence of an underlying non-linear process which is possibly chaotic. A non-linear model which allows for discrete switching between regimes seems to capture most of the non-linear behaviour. Copyright @ 1997 by John Wiley & Sons, Ltd. All rights reserved.

Date: 1997
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