EconPapers    
Economics at your fingertips  
 

Non-Linearities in Exchange Rates

Michael Clements and Jeremy Smith

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: We consider the forecasting performance of two SETAR exchange rate models proposed by Krager and Kugler (1993). Assuming that the models are good approximations to the data generating process, we show that whether the non-linearities inherent in the datacan be exploited to forecast better than a random walk depends on both how forecast accuracy is assessed and on the 'state of nature'.

Keywords: EXCHANGE; RATE (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
https://warwick.ac.uk/fac/soc/economics/research/w ... 95-1998/twerp504.pdf

Related works:
Working Paper: NON-LINEARITIES IN EXCHANGE RATES (1998) Downloads
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: https://EconPapers.repec.org/RePEc:wrk:warwec:504

Access Statistics for this paper

More papers in The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Margaret Nash ().

 
Page updated 2019-10-01
Handle: RePEc:wrk:warwec:504