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Asymmetry in the EMS: new evidence based on non-linear forecasts

机译:EMS中的不对称性:基于非线性预测的新证据

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In this paper we provide new evidence on the hypothesis of German leadership and asymmetric performance in the EMS, in the framework of causality tests, using daily data. Given the evidence about non-linearity in financial series, we propose applyingnon-linear forecasting methods based on the literature on complex dynamic systems. Our analysis covers nine countries, and the sample period runs until 30 April 1998, so including the more recent events in the EMS history. A comparison of our results with those obtained from standard linear econometric techniques leads us to conclude that inference on causality based on our non-linear predictors would be preferable to that based on the standard linear approach.
机译:在本文中,我们使用每日数据,在因果关系检验的框架内,提供了有关德国领导力假设和EMS中不对称绩效的新证据。考虑到有关金融序列非线性的证据,我们提出了基于文献的复杂动态系统非线性预测方法。我们的分析覆盖了9个国家,采样期一直持续到1998年4月30日,因此包括EMS历史中的最新事件。将我们的结果与从标准线性计量经济技术获得的结果进行比较,可以得出结论:基于非线性预测变量的因果关系推断要比基于标准线性方法的因果关系推断更可取。

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