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Non-Linearities in East European Black-Market Exchange Rates

✍ Scribed by David A. Peel; Alan E. H. Speight

Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
284 KB
Volume
2
Category
Article
ISSN
1076-9307

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✦ Synopsis

This paper reports evidence of non-linearities in the black-market exchange returns of the Bulgarian lev, Czechoslovak koruna, Hungarian forint, Polish zloty, Rumanian lei and Soviet ruble. Attempts to characterize that non-linearity using QGARCH and simultaneous BL-QGARCH models prove successful for the forint, zloty and ruble. However, the appropriate representations of non-linearities in the lev, koruna and lei remain unresolved, and a low-order deterministic characterization of the lev cannot be precluded.

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