Paper Title:
Study on the HMM of Nonlinear Nominal Exchange Rates
  Abstract

The exchange rate model for the study of the exchange rate theory has very important significance. After analyzing the successful nonlinear model of real exchange rate based on the purchasing power parity (PPP) theory, the nonlinear problem of nominal exchange rate is studied in this paper. Through a research on a period of nominal exchange rate with nonlinear characteristics, a nonlinear statistical model of nominal exchange rate based on the hidden Markov model (HMM) is proposed, and the parameters of the model are estimated. Hypothesis testing shows that the model can accurately describe the statistical characteristics of the nominal exchange rate time series. The parameters showed that the nominal exchange rate model proposed in this paper, to some extent, supports that deviations from purchasing power parity (PPP) are nonlinear mean reversions.

  Info
Periodical
Advanced Materials Research (Volumes 268-270)
Edited by
Feng Xiong
Pages
1823-1827
DOI
10.4028/www.scientific.net/AMR.268-270.1823
Citation
S. Zhang, X. F. Hui, "Study on the HMM of Nonlinear Nominal Exchange Rates", Advanced Materials Research, Vols. 268-270, pp. 1823-1827, 2011
Online since
July 2011
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Price
$32.00
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