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- Title
A Threshold Model for the French Franc/ Deutschmark Exchange Rate.
- Authors
Chappell, David; Padmore, Joanne; Mistry, Priti; Ellis, Catherine
- Abstract
The behaviour of the French french/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.
- Subjects
FOREIGN exchange rates; NONLINEAR theories; FRANC (French currency); ECONOMIC models; LINEAR statistical models; ECONOMIC forecasting
- Publication
Journal of Forecasting, 1996, Vol 15, Issue 3, p155
- ISSN
0277-6693
- Publication type
Article
- DOI
10.1002/(SICI)1099-131X(199604)15:3<155::AID-FOR616>3.0.CO;2-Z