Non-Linearity and Non-Stationarity of Exchange Rate Time Series in Three Central-Eastern European Countries Regarding the CHF Currency in 2014 and 2015

Autor: Madaras Szilárd, Györfy Lehel
Jazyk: angličtina
Rok vydání: 2016
Předmět:
Zdroj: Acta Universitatis Sapientiae: Economics and Business, Vol 4, Iss 1, Pp 33-41 (2016)
Druh dokumentu: article
ISSN: 2360-0047
DOI: 10.1515/auseb-2016-0002
Popis: Our paper deals with the consequences of the Swiss National Bank’s decision in January 2015 related to the CHF/EUR exchange rate regarding the non-linearity of the RON/CHF, HUF/CHF, and PLN/CHF exchange rate time series. The analysis focuses on the 2014 and 2015 years, respectively, using the daily data of the three national banks. Starting out from the conventional unit root tests (ADF, PP, and KPSS), we complete our analysis with the usage of the Threshold Autoregression model (TAR) recommended by Caner and Hansen (2001), testing the non-stationarity and nonlinearity.
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