<abstract xmlns="http://www.w3.org/1999/xhtml"><p>Our paper deals with the consequences of the Swiss National Bank’s decision in January 2015 related to the CHF/EUR exchange rate regarding the non-linearity of the RON/CHF, HUF/CHF, and PLN/CHF exchange rate time series. The analysis focuses on the 2014 and 2015 years, respectively, using the daily data of the three national banks. Starting out from the conventional unit root tests (ADF, PP, and KPSS), we complete our analysis with the usage of the Threshold Autoregression model (TAR) recommended by <xref ref-type="bibr" rid="j_auseb-2016-0002_ref_002_w2aab2b8b9b1b7b1ab1ab2Aa">Caner and Hansen (2001)</xref>, testing the non-stationarity and nonlinearity.</p></abstract>

Our paper deals with the consequences of the Swiss National Bank’s decision in January 2015 related to the CHF/EUR exchange rate regarding the non-linearity of the RON/CHF, HUF/CHF, and PLN/CHF exchange rate time series. The analysis focuses on the 2014 and 2015 years, respectively, using the daily data of the three national banks. Starting out from the conventional unit root tests (ADF, PP, and KPSS), we complete our analysis with the usage of the Threshold Autoregression model (TAR) recommended by Caner and Hansen (2001), testing the non-stationarity and nonlinearity.

Non-Linearity and Non-Stationarity of Exchange Rate Time Series in Three Central-Eastern European Countries Regarding the CHF Currency in 2014 and 2015

Department of Economics, Faculty of Economics, Socio-Human Sciences and Engineering, Sapientia Hungarian University of Transylvania, Miercurea Ciuc

Department of Economics and Business Administration in Hungarian Language, Faculty of Economics and Business Administration, Babeş–Bolyai University, Cluj-Napoca

Acta Universitatis Sapientiae, Economics and Business

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Our paper deals with the consequences of the Swiss National Bank’s decision in January 2015 related to the CHF/EUR exchange rate regarding the non-linearity of...

Non-Linearity and Non-Stationarity of Exchange Rate Time Series in Three Central-Eastern European Countries Regarding the CHF Currency in 2014 and 2015

Publié en ligne: 28 déc. 2016

Pages: 33 - 41

DOI: https://doi.org/10.1515/auseb-2016-0002

Mots clés
time series model, unit root tests, threshold unit root test, exchange rates

© 2016 Szilárd Madaras et al., published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Non-Linearity and Non-Stationarity of Exchange Rate Time Series in Three Central-Eastern European Countries Regarding the CHF Currency in 2014 and 2015

Publié en ligne: 28 déc. 2016

Pages: 33 - 41

DOI: https://doi.org/10.1515/auseb-2016-0002

Mots cléstime series model, unit root tests, threshold unit root test, exchange rates

© 2016 Szilárd Madaras et al., published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Mots clés
time series model, unit root tests, threshold unit root test, exchange rates