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Nonlinear dynamics of speculative attacks on the Finnish markka, 1987-1992

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  • Murto, Risto

Abstract

In this paper, I estimate nonlinear autoregressive models for Finnish short-term interest rates using daily data.The nonlinear models considered in the paper are the logistic (LSTAR) and exponential (ESTAR) autoregressive models.The estimated LSTAR model appears to capture some of the interest rate dynamics associated with the speculative attacks against the Finnish markka.The combined LSTAR-GARCH models are also estimated.

Suggested Citation

  • Murto, Risto, 1994. "Nonlinear dynamics of speculative attacks on the Finnish markka, 1987-1992," Bank of Finland Research Discussion Papers 13/1994, Bank of Finland.
    • Handle: RePEc:zbw:bofrdp:rdp1994_013
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