Nonlinear Analyses of Exchange Rates of Six Emerging Markets

doi:10.1007/s12204-012-1236-6

Abstract

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

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

CLC Number:

F830.92

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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