Exchange rates and formation of expectations: Are nonlinear models appropriate?

Title: Exchange rates and formation of expectations: Are nonlinear models appropriate?
Identifier: AAI9000680
identifier: 9000680
Creator: Causse, Dominique.
Contributor: Adviser: Salih Neftci
Date: 1989
Language: English
Publisher: City University of New York.
Subject: Economics, General | Economics, Finance
Abstract: This dissertation studies daily changes of the French-deutschmark exchange rate over 9 years (1979-1987). The question of expectation formation and the effect of important shocks (elections, devaluations ...) on this market, are addressed using nonlinear time series models. One class of model is given special attention: the Thresholds models. The AIC criterion is used to identify the best model in this class and the results are compared to an ARMA model. The dissertation gives some insights on the use of nonlinear models to characterize certain aspects of the exchange rate market. For example we are able to address the effect of interventions on exchange rate markets, by the Central Banks, on the French-deutschmark rate. Furthermore, the methodology used (nonlinear techniques) sheds some light on the hypotheses of linearity and normality in econometric models.
Type: dissertation
Source: PQT Legacy CUNY.xlsx
degree: Ph.D.

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