Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/49191
Title: Asymmetry in the EMS: New evidence based on non-linear forecasts
Authors: Bajo-Rubio, Oscar
Sosvilla-Rivero, Simón
Fernández-Rodríguez, Fernando 
Keywords: Exchange-Rate
Time-Series
Interest-Rates
German Dominance
Causality, et al
Issue Date: 2001
Publisher: 0014-2921
Journal: European economic review 
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, (C) 2001 Elsevier Science B.V. All rights reserved.
URI: http://hdl.handle.net/10553/49191
ISSN: 0014-2921
DOI: 10.1016/S0014-2921(00)00076-3
Source: European Economic Review[ISSN 0014-2921],v. 45, p. 451-473
Appears in Collections:Artículos
Show full item record

SCOPUSTM   
Citations

23
checked on Aug 14, 2022

WEB OF SCIENCETM
Citations

11
checked on Aug 14, 2022

Page view(s)

15
checked on Jun 4, 2022

Google ScholarTM

Check

Altmetric


Share



Export metadata



Items in accedaCRIS are protected by copyright, with all rights reserved, unless otherwise indicated.