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Non-Linearities In Exchange Rates

Author

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  • Clements, Michael P.
  • Smith, Jeremy

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'.
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Suggested Citation

  • Clements, Michael P. & Smith, Jeremy, 1998. "Non-Linearities In Exchange Rates," Economic Research Papers 268786, University of Warwick - Department of Economics.
    • Handle: RePEc:ags:uwarer:268786
    DOI: 10.22004/ag.econ.268786
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    Cited by:

    1. G. Ascari & E. Marrocu, 2003. "Forecasting inflation: a comparison of linear Phillips curve models and nonlinear time serie models," Working Paper CRENoS 200307, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    2. Liew Khim Sen & Ahmad Zubaidi Baharumshah, 2003. "How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models," GE, Growth, Math methods 0307004, University Library of Munich, Germany.
    3. G. Boero & E. Marrocu, 1999. "Modelli non lineari per i tassi di cambio: un confronto previsivo," Working Paper CRENoS 199914, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    4. G. Boero & E. Marrocu, 2000. "La performance di modelli non lineari per i tassi di cambio: un'applicazione con dati a diversa frequenza," Working Paper CRENoS 200014, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.

    More about this item

    Keywords

    International Relations/Trade; Research Methods/ Statistical Methods;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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