The UvA-LINKER will give you a range of other options to find the full text of a publication (including a direct link to the full-text if it is located on another database on the internet).
De UvA-LINKER biedt mogelijkheden om een publicatie elders te vinden (inclusief een directe link naar de publicatie online als deze beschikbaar is in een database op het internet).

Search results

Query: faculty: "FEB" and publication year: "2007"

AuthorsS. Bekiros, C.G.H. Diks
TitleThe Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing
Title seriesCeNDEF Working Paper Universiteit van Amsterdam
Series number07-08
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractThe present study investigates the long-term linear and nonlinear causal linkages among six currencies, namely EUR/USD, GBP/USD, USD/JPY, USD/CHF, AUD/USD and USD/CAD. The prime motivation for choosing these exchange rates comes from the fact that they are the most liquid and widely traded, covering about 90% of total FX trading worldwide. The data spans two periods (PI: 3/20/1991 - 3/20/1997, PII: 3/20/2003 - 3/20/2007) before and after the structural break of the Asian financial crisis, which set a platform for departure for causality testing. We apply a new nonparametric test for Granger non-causality by Diks and Panchenko (2005, 2006) as well as the conventional linear Granger test on the return time series. To ensure that any causality is strictly nonlinear in nature, we also examine the nonlinear causal relationships of pairwise VAR filtered residuals as well as in a six-variate formulation. We find remaining significant bi- and uni-directional causal nonlinear relationships in the return series. Finally, we investigate the hypothesis of nonlinear non-causality after controlling for conditional heteroskedasticity in the data using a GARCH-BEKK model. Our approach allows the entire variance-covariance structure of the currency interrelationship to be incorporated in order to explicitly capture the volatility spillover mechanism. Whilst the nonparametric test statistics are smaller in some cases, significant nonlinear causal linkages persisted even after GARCH filtering during both the pre- and post-Asian crisis period. This indicates that currency returns may exhibit asymmetries and statistically significant higher-order moments.
Document typeReport
Document finderUvA-Linker