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

Oscar Bajo-Rubio (), Simon Sosvilla-Rivero and Fernando Fernández Rodríguez
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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)
Pages: 52 pages
Date: 2000
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Asymmetry in the EMS: New evidence based on non-linear forecasts (2001)
Working Paper: Asymmetry in the EMS: New evidence based on non-linear forecasts
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