摘要
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.
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.
基金
the Key Projects of the China National Fund for Social Science(No.09AJY003)
the Humanities and Social Sciences Project of Ministry of Education(No.2009JYJR037)
