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Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: Nonlinear error correction in spot and forward exchange rates
Author(s): McMillan, David
Black, Angela
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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. 
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