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Empirical Properties of the Black Market Zloty— Dollar Exchange Rate, 1955–1990
Author(s) -
Funke Michael,
Hall Stephen,
Sola Martin
Publication year - 1997
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/(sici)1099-1158(199701)2:1<29::aid-ijfe32>3.0.co;2-x
Subject(s) - economics , liberian dollar , exchange rate , econometrics , linear model , monetary economics , mathematics , statistics , finance
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. © 1997 by John Wiley & Sons, Ltd.