✦ LIBER ✦

Empirical Properties of the Black Market Zloty— Dollar Exchange Rate, 1955–1990

✍ Scribed by Michael Funke; Stephen Hall; Martin Sola

Publisher: John Wiley and Sons
Year: 1997
Tongue: English
Weight: 113 KB
Volume: 2
Category: Article
ISSN: 1076-9307
DOI: 10.1002/(sici)1099-1158(199701)2:1<29::aid-ijfe32>3.0.co;2-x

No coin nor oath required. For personal study only.

✦ Synopsis

This paper tests the properties of the zloty-dollar exchange rate for the possible presence of unknown non-linearities. It concludes that there is strong evidence for the presence of an underlying non-linear process which is possibly chaotic. A non-linear model which allows for discrete switching between regimes seems to capture most of the non-linear behaviour.