Nonlinearities in East European Black Market Exchange Rates

Peel, David and Speight, A. (1997) Nonlinearities in East European Black Market Exchange Rates. International Journal of Finance and Economics, 2 (1). pp. 39-57.

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Abstract

This paper reports evidence of non-linearities in the black-market exchange returns of the Bulgarian lev, Czechoslovak koruna, Hungarian forint, Polish zloty, Rumanian lei and Soviet ruble. Attempts to characterize that non-linearity using QGARCH and simultaneous BL-QGARCH models prove successful for the forint, zloty and ruble. However, the appropriate representations of non-linearities in the lev, koruna and lei remain unresolved, and a low-order deterministic characterization of the lev cannot be precluded.

Item Type:	Article
Journal or Publication Title:	International Journal of Finance and Economics
Uncontrolled Keywords:	exchange rates ; black-markets ; non-linearity ; bilinearity ; quadratic-ARCH
Subjects:	H Social Sciences > HB Economic Theory
Departments:	Lancaster University Management School > Economics
ID Code:	56416
Deposited By:	ep_importer_pure
Deposited On:	31 Jul 2012 11:20
Refereed?:	Yes
Published?:	Published
Last Modified:	31 Jul 2012 11:20
Identification Number:
URI:	http://eprints.lancs.ac.uk/id/eprint/56416

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