Nonlinear Analyses of Exchange Rates of Six Emerging Markets

This paper presents some empirical evidences on the presence of nonlinearity of exchange rates of six emerging markets by using Brock-Dechert-Scheinkman （BDS） test and Volterra-Wiener-Korenberg （VWK） model, respectively. The nonlinear dependences are found in the exchange rates of six emerging marke...

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Bibliographic Details
Published in:Shanghai jiao tong da xue xue bao 2012-02, Vol.17 (1), p.108-113
Main Author: 雷强 潘英丽
Format: Article
Language:English
Subjects:
Architecture
Computer Science
Electrical Engineering
Empirical analysis
Engineering
Life Sciences
Markets
Materials Science
Nonlinear dynamics
Nonlinearity
Random walk
Time series
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Summary:This paper presents some empirical evidences on the presence of nonlinearity of exchange rates of six emerging markets by using Brock-Dechert-Scheinkman （BDS） test and Volterra-Wiener-Korenberg （VWK） model, respectively. The nonlinear dependences are found in the exchange rates of six emerging markets. Furthermore, this paper applies the VWK model with surrogate data method to detect if their nonlinear dependences are deterministic or not. The results show that the above exchange rates are deterministic and nonlinear time series. These imply that the exchange rate markets do not conform to the requirements of the random walk hypothesis. Therefore, the nonlinear dynamic model should be used to analyze the exchange rates.
ISSN:1007-1172
1995-8188
DOI:10.1007/s12204-012-1236-6