How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models
Author
Abstract
Suggested Citation
Note: Type of Document - Word
Download full text from publisher
References listed on IDEAS
- Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 119-136, Suppl. De.
- Clements, M.P. & Smith, J., 1998.
"Non-Linearities in Exchange Rates,"
The Warwick Economics Research Paper Series (TWERPS)
504, University of Warwick, Department of Economics.
- Clements, Michael P. & Smith, Jeremy, 1998. "Non-Linearities In Exchange Rates," Economic Research Papers 268786, University of Warwick - Department of Economics.
- Eitrheim, Oyvind & Terasvirta, Timo, 1996.
"Testing the adequacy of smooth transition autoregressive models,"
Journal of Econometrics, Elsevier, vol. 74(1), pages 59-75, September.
- Eitrheim, Øyvind & Teräsvirta, Timo, 1995. "Testing the Adequacy of Smooth Transition Autoregressive Models," SSE/EFI Working Paper Series in Economics and Finance 56, Stockholm School of Economics.
- Nagayasu, Jun, 2002.
"Does the Long-Run PPP Hypothesis Hold for Africa? Evidence from a Panel Cointegration Study,"
Bulletin of Economic Research, Wiley Blackwell, vol. 54(2), pages 181-187, April.
- Mr. Jun Nagayasu, 1998. "Does the Long-Run Ppp Hypothesis Hold for Africa? Evidence From Panel Co-Integration Study," IMF Working Papers 1998/123, International Monetary Fund.
- Azali, M. & Habibullah, M. S. & Baharumshah, A. Z., 2001. "Does PPP hold between Asian and Japanese economies? Evidence using panel unit root and panel cointegration," Japan and the World Economy, Elsevier, vol. 13(1), pages 35-50, January.
- Teräsvirta, Timo, 1996. "Smooth Transition Models," SSE/EFI Working Paper Series in Economics and Finance 132, Stockholm School of Economics.
- Taylor, Mark P. & Peel, David A., 2000. "Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 33-53, February.
- Diebold, Francis X. & Nason, James A., 1990.
"Nonparametric exchange rate prediction?,"
Journal of International Economics, Elsevier, vol. 28(3-4), pages 315-332, May.
- Francis X. Diebold & James M. Nason, 1989. "Nonparametric exchange rate prediction?," Finance and Economics Discussion Series 81, Board of Governors of the Federal Reserve System (U.S.).
- Granger, Clive W. J. & Terasvirta, Timo, 1993. "Modelling Non-Linear Economic Relationships," OUP Catalogue, Oxford University Press, number 9780198773207.
- Baum, Christopher F. & Barkoulas, John T. & Caglayan, Mustafa, 2001.
"Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era,"
Journal of International Money and Finance, Elsevier, vol. 20(3), pages 379-399, June.
- Christopher F. Baum & Mustafa Caglayan & John Barkoulas, 1998. "Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era," Boston College Working Papers in Economics 404., Boston College Department of Economics, revised 16 Nov 1999.
- Jerry Coakley & Ana-Maria Fuertes, 2001. "Nonparametric cointegration analysis of real exchange rates," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 1-8.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Liew Khim Sen & Ahmad Zubaidi Baharumshah & Choo Wei Chong & Habshah Midi, 2003. "A Non-parametric Bootstrap Simulation Study in ESTAR (1) Model," GE, Growth, Math methods 0307005, University Library of Munich, Germany.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Venus Khim-Sen Liew, 2003. "The Validity of PPP Revisited: An Application of Non-linear Unit Root Test," International Finance 0308001, University Library of Munich, Germany.
- Ahmad Baharumshah & Venus Liew, 2006. "Forecasting Performance of Exponential Smooth Transition Autoregressive Exchange Rate Models," Open Economies Review, Springer, vol. 17(2), pages 235-251, April.
- Carlo Altavilla & Paul De Grauwe, 2010.
"Non-linearities in the relation between the exchange rate and its fundamentals,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 1-21.
- Carlo Altavilla & Paul De Grauwe, 2005. "Non-Linearities in the Relation between the Exchange Rate and its Fundamentals," CESifo Working Paper Series 1561, CESifo.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2015.
"The out-of-sample forecasting performance of nonlinear models of regional housing prices in the US,"
Applied Economics, Taylor & Francis Journals, vol. 47(22), pages 2259-2277, May.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working Papers 201226, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working Papers 1209, University of Nevada, Las Vegas , Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working papers 2012-12, University of Connecticut, Department of Economics.
- Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working Papers 15-27, Eastern Mediterranean University, Department of Economics.
- Milas Costas & Legrenzi Gabriella, 2006.
"Non-linear Real Exchange Rate Effects in the UK Labour Market,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(1), pages 1-34, March.
- Gabriella Legrenzi & Costas Milas, 2004. "Non-linear real exchange rate effects in the UK labour market," International Finance 0411007, University Library of Munich, Germany.
- Gabriella Legrenzi & Costas Milas, 2005. "Non-linear real exchange rate effects in the UK labour market," Keele Economics Research Papers KERP 2005/08, Centre for Economic Research, Keele University.
- Gabriella Legrenzi & Costas Milas, 2005. "Non-linear real exchange rate effects in the UK labour market," Macroeconomics 0507019, University Library of Munich, Germany.
- Wang, Rudan & Morley, Bruce & Stamatogiannis, Michalis P., 2019. "Forecasting the exchange rate using nonlinear Taylor rule based models," International Journal of Forecasting, Elsevier, vol. 35(2), pages 429-442.
- Param Silvapulle & Titi Kanti Lestari & Jae Kim, 2004. "Nonlinear Modelling of Purchasing Power Parity in Indonesia," Econometric Society 2004 Australasian Meetings 316, Econometric Society.
- Ahmad Zubaidi Baharumshah & Liew Khim Sen & Lim Kian Ping, 2003. "Exchange Rates Forecasting Model: An Alternative Estimation Procedure," International Finance 0307005, University Library of Munich, Germany.
- Mohamed Chikhi & Claude Diebolt, 2019.
"Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors,"
Working Papers of BETA
2019-06, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Mohamed Chikhi & Claude Diebolt, 2019. "Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors," Working Papers 03-19, Association Française de Cliométrie (AFC).
- LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
- Franses,Philip Hans & Dijk,Dick van, 2000.
"Non-Linear Time Series Models in Empirical Finance,"
Cambridge Books,
Cambridge University Press, number 9780521779654, January.
- Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, January.
- Nektarios Aslanidis, 2002. "Regime-switching behaviour in European," Working Papers 0202, University of Crete, Department of Economics.
- Stefan Reitz & Jan C. Rülke & Mark P. Taylor, 2011.
"On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates,"
The Economic Record, The Economic Society of Australia, vol. 87(278), pages 465-479, September.
- Reitz, Stefan & Ruelke, Jan C. & Taylor, Mark P., 2010. "On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates," Discussion Paper Series 1: Economic Studies 2010,08, Deutsche Bundesbank.
- K.S. Liew & A.Z. Baharumshah & K.P. Lim, 2003. "The Purchasing Power Parity Puzzle in Indonesia: Insights from ESTAR Model," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 51, pages 253-269, September.
- Reitz, Stefan & Taylor, Mark P., 2008.
"The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis,"
European Economic Review, Elsevier, vol. 52(1), pages 55-76, January.
- Reitz, Stefan & Taylor, Mark P., 2006. "The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis," Discussion Paper Series 1: Economic Studies 2006,08, Deutsche Bundesbank.
- Stefan Reitz & M.P Taylor, 2006. "The Coordination Channel of Foreign Exchange Intervention," Computing in Economics and Finance 2006 16, Society for Computational Economics.
- Aslanidis, Nektarios & Christiansen, Charlotte, 2012.
"Smooth transition patterns in the realized stock–bond correlation,"
Journal of Empirical Finance, Elsevier, vol. 19(4), pages 454-464.
- Nektarios Aslanidis & Charlotte Christiansen, 2010. "Smooth Transition Patterns in the Realized Stock Bond Correlation," CREATES Research Papers 2010-15, Department of Economics and Business Economics, Aarhus University.
- Aslanidis, Nektarios & Christiansen, Charlotte, 2011. "Smooth Transition Patterns in the Realized Stock- Bond Correlation," Working Papers 2072/152138, Universitat Rovira i Virgili, Department of Economics.
- Coudert, Virginie & Mignon, Valérie, 2013.
"The “forward premium puzzle” and the sovereign default risk,"
Journal of International Money and Finance, Elsevier, vol. 32(C), pages 491-511.
- Virginie Coudert & Valérie Mignon, 2011. "The “Forward Premium Puzzle” and the Sovereign Default Risk," Working Papers 2011-17, CEPII research center.
- Virginie Coudert & Valérie Mignon, 2013. "The ‘Forward Premium Puzzle’ and the Sovereign Default risk," Post-Print hal-01385839, HAL.
- Carlo Altavilla & Paul De Grauwe, 2010.
"Forecasting and combining competing models of exchange rate determination,"
Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3455-3480.
- Carlo Altavilla & Paul De Grauwe, 2006. "Forecasting and Combining Competing Models of Exchange rate Determination," Discussion Papers 5_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
- Carlo Altavilla & Paul De Grauwe, 2006. "Forecasting and Combining Competing Models of Exchange Rate Determination," CESifo Working Paper Series 1747, CESifo.
- Daniel Buncic, 2012.
"Understanding forecast failure of ESTAR models of real exchange rates,"
Empirical Economics, Springer, vol. 43(1), pages 399-426, August.
- Daniel Buncic, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," EERI Research Paper Series EERI_RP_2009_18, Economics and Econometrics Research Institute (EERI), Brussels.
- Buncic, Daniel, 2009. "Understanding forecast failure in ESTAR models of real exchange rates," MPRA Paper 13121, University Library of Munich, Germany.
- Buncic, Daniel, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," MPRA Paper 16526, University Library of Munich, Germany.
More about this item
Keywords
Autoregressive; Smooth Transition Autoregressive; non-linear time series; forecasting accuracy;All these keywords.
JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- D5 - Microeconomics - - General Equilibrium and Disequilibrium
- D9 - Microeconomics - - Micro-Based Behavioral Economics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2003-08-01 (Econometrics)
- NEP-ETS-2003-07-29 (Econometric Time Series)
- NEP-IFN-2003-07-29 (International Finance)
- NEP-SEA-2003-07-29 (South East Asia)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpge:0307004. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: EconWPA (email available below). General contact details of provider: https://econwpa.ub.uni-muenchen.de .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.