Nonlinear Analyses of Exchange Rates of Six Emerging Markets

doi:10.1007/s12204-012-1236-6

上海交通大学学报（英文版） ›› 2012, Vol. 17 ›› Issue (1): 108-113.doi: 10.1007/s12204-012-1236-6

Nonlinear Analyses of Exchange Rates of Six Emerging Markets

LEI Qiang (雷强), PAN Ying-li (潘英丽)

(Antai College of Economics & Management, Shanghai Jiaotong University, Shanghai 200052, China)

收稿日期:2009-05-08 出版日期:2012-02-29 发布日期:2012-03-21
通讯作者: LEI Qiang (雷强 ) E-mail:aoliege_ql@163.com

Nonlinear Analyses of Exchange Rates of Six Emerging Markets

LEI Qiang (雷强), PAN Ying-li (潘英丽)

(Antai College of Economics & Management, Shanghai Jiaotong University, Shanghai 200052, China)

Received:2009-05-08 Online:2012-02-29 Published:2012-03-21
Contact: LEI Qiang (雷强 ) E-mail:aoliege_ql@163.com

摘要/Abstract

摘要： Abstract: 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.

关键词: Brock-Dechert-Scheinkman (BDS) test, Volterra-Wiener-Korenberg (VWK) model, nonlinearity, surrogate data, exchange rate

Abstract: Abstract: 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.

Key words: Brock-Dechert-Scheinkman (BDS) test, Volterra-Wiener-Korenberg (VWK) model, nonlinearity, surrogate data, exchange rate

中图分类号:

F830.92

LEI Qiang (雷强), PAN Ying-li (潘英丽). Nonlinear Analyses of Exchange Rates of Six Emerging Markets[J]. 上海交通大学学报（英文版）, 2012, 17(1): 108-113.

LEI Qiang (雷强), PAN Ying-li (潘英丽). Nonlinear Analyses of Exchange Rates of Six Emerging Markets[J]. Journal of shanghai Jiaotong University (Science), 2012, 17(1): 108-113.

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Nonlinear Analyses of Exchange Rates of Six Emerging Markets

Nonlinear Analyses of Exchange Rates of Six Emerging Markets

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