标题：Non-Linearity and Non-Stationarity of Exchange Rate Time Series in Three Central-Eastern European Countries Regarding the CHF Currency in 2014 and 2015
期刊名称：Acta Universitatis Sapientiae, Economics and Business
电子版ISSN：2343-8894
出版年度：2016
卷号：4
期号：1
页码：33-41
DOI：10.1515/auseb-2016-0002
语种：English
出版社：Walter de Gruyter GmbH
摘要：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.
关键词：time series model ; unit root tests ; threshold unit root test ; exchange rates ; C22 Time-Series Models ; F31 Foreign Exchange
