Nonlinear dynamics of speculative attacks on the Finnish markka, 1987-1992
Murto, Risto (15.06.1994)
Numero
13/1994Julkaisija
Suomen Pankki
1994
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-20140807495Tiivistelmä
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.