Search results for " no linealidad"

showing 2 items of 2 documents

El tipo de cambio real dólar-euro y el diferencial de intereses reales

2006

This paper investigates whether threshold effects exist in the relationship between dollar-euro real exchange rate and real interest differential, over the period January 1984 to December 2004. We specify a three-regime threshold model and the results provide evidence that there is no threshold effect in the short term, but the nonlinear behaviour of real exchange rate implies threshold effect in the long term. On the other hand, the nonlinearity into the behaviour of real exchange rates can be modelled by a Band-TAR which implies a symmetric response to the real interest differential outside the bank. Finally, into the threshold band the behaviour of real exchange rate is near to follow a …

Paridad de poder adquisitivojel:C53Banda umbral; Tipo de cambio real; Diferencial de intereses reales; Paridad de poder adquisitivo; No linealidadNo linealidadUNESCO::CIENCIAS ECONÓMICAS::Economía internacional::Acuerdos monetarios internacionalesDiferencial de intereses realesbanda umbral tipo de cambio real diferencial de intereses reales paridad de poder adquisitivo no linealidad Threshold real exchange rates real interest differentials purchasing power parity nonlinearity.Tipo de cambio realjel:F30:CIENCIAS ECONÓMICAS::Economía internacional::Acuerdos monetarios internacionales [UNESCO]jel:F47Banda umbral
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No linealidad y asimetría en el proceso generador del Índice Ibex35

2013

This paper analyzes the behavior of Ibex35 from January 1999 to December 2001, in order to check if it follows a different process from random walk so its return is not a white noise and it can be predictable, against the efficient market hypothesis. For that, a nonlinear generating process of return will be considered and a STAR-APARCH model will be specified. This model allows a nonlinear behavior in the conditional mean and in the conditional variance. The empirical results show that the Ibex35 follows a nonlinear and asymmetric process, both in the conditional mean as in the conditional variance, so the weak-version of efficient market hypothesis is rejected. El trabajo analiza el compo…

Economics and Econometricsjel:C53White noisejel:C22EconomiaConditional expectationRandom walkEfficient-market hypothesisNonlinear systemjel:G14Order (exchange)Mercados eficientes no linealidad asimetría media condicional varianza condicional modelos autorregresivos con umbral Efficient markets nonlinearity asymmetry conditional mean conditional variance threshold autoregressive modelsStatisticsEconometricsConditional varianceMathematics
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