Arbeitspapier
Nonlinear dynamics of speculative attacks on the Finnish markka, 1987-1992
In this paper, I estimate nonlinear autoregressive models for Finnish short-term interest rates using daily data.The nonlinear models considered in the paper are the logistic (LSTAR) and exponential (ESTAR) autoregressive models.The estimated LSTAR model appears to capture some of the interest rate dynamics associated with the speculative attacks against the Finnish markka.The combined LSTAR-GARCH models are also estimated.
- ISBN
-
951-686-410-4
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Finland Discussion Papers ; No. 13/1994
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Murto, Risto
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
1994
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Murto, Risto
- Bank of Finland
Entstanden
- 1994
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