Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/25027
Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: Nonlinear error correction in spot and forward exchange rates
Authors: McMillan, David
Black, Angela
Contact Email: david.mcmillan@stir.ac.uk
Issue Date: Dec-2001
Citation: McMillan D & Black A (2001) Nonlinear error correction in spot and forward exchange rates, Weltwirtschaftliches Archiv, 137 (4), pp. 737-750.
Abstract: First paragraph: There is increasing recognition that financial markets may be characterised by non-linear behaviour, perhaps resulting from market frictions such as transaction costs, which may cover a broad range of costs such as the bid-ask spread, short-selling and borrowing constraints and other transaction costs. A series of recent papers has examined both real and nominal exchange rates for the existence of possible threshold effects. In general this programme of research has found affirmative evidence of threshold effects within exchange rate series. 
DOI Link: http://dx.doi.org/10.1007/bf02707431
Rights: The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.

Files in This Item:
File Description SizeFormat 
art%3A10.1007%2FBF02707431.pdf686.96 kBAdobe PDFUnder Embargo until 31/12/2999     Request a copy

Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependent on the depositor still being contactable at their original email address.



This item is protected by original copyright



Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

If you believe that any material held in STORRE infringes copyright, please contact library@stir.ac.uk providing details and we will remove the Work from public display in STORRE and investigate your claim.