Asymmetry in the EMSnew evidence based on non-linear forecasts?

  1. Bajo Rubio, Óscar
  2. Sosvilla Rivero, Simón
  3. Fernández Rodríguez, Fernando
Aldizkaria:
Documentos de Trabajo ( Universidad Pública de Navarra. Departamento de Economía )

Argitalpen urtea: 2000

Zenbakia: 1

Mota: Laneko dokumentua

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Laburpena

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.

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