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

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

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...

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Main Authors: Madaras Szilárd, Györfy Lehel
Format: Article
Language:English
Published: Sciendo 2016-12-01
Series:Acta Universitatis Sapientiae: Economics and Business
Subjects:
time series model
unit root tests
threshold unit root test
exchange rates
c22 time-series models
f31 foreign exchange
Online Access:https://doi.org/10.1515/auseb-2016-0002
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spelling doaj-bd6bfe904dee43eeb9cfa6cc4148ea782021-09-06T19:40:18ZengSciendoActa Universitatis Sapientiae: Economics and Business2360-00472016-12-0141334110.1515/auseb-2016-0002auseb-2016-0002Non-Linearity and Non-Stationarity of Exchange Rate Time Series in Three Central-Eastern European Countries Regarding the CHF Currency in 2014 and 2015Madaras Szilárd0Györfy Lehel1 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-NapocaOur 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.https://doi.org/10.1515/auseb-2016-0002time series modelunit root teststhreshold unit root testexchange ratesc22 time-series modelsf31 foreign exchange
collection DOAJ
language English
format Article
sources DOAJ
author Madaras Szilárd
Györfy Lehel
spellingShingle Madaras Szilárd
Györfy Lehel
Non-Linearity and Non-Stationarity of Exchange Rate Time Series in Three Central-Eastern European Countries Regarding the CHF Currency in 2014 and 2015
Acta Universitatis Sapientiae: Economics and Business
time series model
unit root tests
threshold unit root test
exchange rates
c22 time-series models
f31 foreign exchange
author_facet Madaras Szilárd
Györfy Lehel
author_sort Madaras Szilárd
title Non-Linearity and Non-Stationarity of Exchange Rate Time Series in Three Central-Eastern European Countries Regarding the CHF Currency in 2014 and 2015
title_short Non-Linearity and Non-Stationarity of Exchange Rate Time Series in Three Central-Eastern European Countries Regarding the CHF Currency in 2014 and 2015
title_full Non-Linearity and Non-Stationarity of Exchange Rate Time Series in Three Central-Eastern European Countries Regarding the CHF Currency in 2014 and 2015
title_fullStr Non-Linearity and Non-Stationarity of Exchange Rate Time Series in Three Central-Eastern European Countries Regarding the CHF Currency in 2014 and 2015
title_full_unstemmed Non-Linearity and Non-Stationarity of Exchange Rate Time Series in Three Central-Eastern European Countries Regarding the CHF Currency in 2014 and 2015
title_sort non-linearity and non-stationarity of exchange rate time series in three central-eastern european countries regarding the chf currency in 2014 and 2015
publisher Sciendo
series Acta Universitatis Sapientiae: Economics and Business
issn 2360-0047
publishDate 2016-12-01
description 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.
topic time series model
unit root tests
threshold unit root test
exchange rates
c22 time-series models
f31 foreign exchange
url https://doi.org/10.1515/auseb-2016-0002
work_keys_str_mv AT madarasszilard nonlinearityandnonstationarityofexchangeratetimeseriesinthreecentraleasterneuropeancountriesregardingthechfcurrencyin2014and2015
AT gyorfylehel nonlinearityandnonstationarityofexchangeratetimeseriesinthreecentraleasterneuropeancountriesregardingthechfcurrencyin2014and2015
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