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A threshold model for the French franc/deutschmark exchange rate

✍ Scribed by David Chappell; Joanne Padmore; Priti Mistry; Catherine Ellis

Publisher: John Wiley and Sons
Year: 1996
Tongue: English
Weight: 562 KB
Volume: 15
Category: Article
ISSN: 0277-6693
DOI: 10.1002/(sici)1099-131x(199604)15:3<155::aid-for616>3.0.co;2-z

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✦ Synopsis

The behaviour of the French franc/deutschmark exchange rate is examined in this paper. During the time period studied, these currencies were constrained to lie within prescribed bands relative to one another and the usual random walk explanation of the exchange rate may not be appropriate. The data are examined for evidence of non-linear structure and it is shown that a piecewise linear SETAR model provides a better explanation and superior forecasting performance than a random walk.

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