An Empirical Assessment of Non-Linearities in Models of Exchange Rate Determination
利用1974至1987年五个主要OECD国家的数据，检验名义汇率与宏观经济基本面之间的实证关系，发现模型解释力差并非源于时间变形或函数形式不当导致的非线性。
This paper examines the empirical relation between nominal exchange rates and macroeconomic fundamentals for five major OECD countries between 1974 and 1987. Five theoretical models of exchange rate determination are considered. Potential non-linearities are examined using a variety of parametric and non-parametric techniques. We find that the poor explanatory power of the models considered cannot be attributed to non-linearities arising from time-deformation or improper functional form.