Kreps and Scheinkman (1983)'s celebrated result is that in a two-stage model of a market with homogeneous products in which firms noncooperatively pick capacities in the first stage and set prices in the second st...Kreps and Scheinkman (1983)'s celebrated result is that in a two-stage model of a market with homogeneous products in which firms noncooperatively pick capacities in the first stage and set prices in the second stage, the equilibrium outcome is that of a one-shot Cournot game. This note derives capacity best response functions for the first stage and extends the Kreps and Scheinkman result to the case of differentiated products.展开更多
Unlike the Brock,Dechert,and Scheinkman(BDS)test,the Surrogate Data method is not only able to provide a nonlinearity test for exchange rates,but also distinguish whether the nonlinear features come from the economic ...Unlike the Brock,Dechert,and Scheinkman(BDS)test,the Surrogate Data method is not only able to provide a nonlinearity test for exchange rates,but also distinguish whether the nonlinear features come from the economic system itself.Our analysis gives some evidence on the presence of nonlinear dependency of five emerging markets' exchange rates by using BDS test.Furthermore,we present evidence in existence of intrinsic and deterministic nonlinearity in the five exchange rates using the Surrogate Data method,comparing the original data and surrogate data and rejecting the null hypothesis in confidence coefficient 95%.The results provide the basis for the analyses of the chaotic properties of exchange rate time series and their future nonlinear forecasting.展开更多
This paper presents some empirical evidences on the presence of nonlinearity of exchange rates of six emerging markets by using Brock-Dechert-Scheinkman(BDS)test and Volterra-Wiener-Korenberg(VWK)model,respectively.Th...This paper presents some empirical evidences on the presence of nonlinearity of exchange rates of six emerging markets by using Brock-Dechert-Scheinkman(BDS)test and Volterra-Wiener-Korenberg(VWK)model,respectively.The nonlinear dependences are found in the exchange rates of six emerging markets.Furthermore,this paper applies the VWK model with surrogate data method to detect if their nonlinear dependences are deterministic or not.The results show that the above exchange rates are deterministic and nonlinear time series.These imply that the exchange rate markets do not conform to the requirements of the random walk hypothesis.Therefore,the nonlinear dynamic model should be used to analyze the exchange rates.展开更多
文摘Kreps and Scheinkman (1983)'s celebrated result is that in a two-stage model of a market with homogeneous products in which firms noncooperatively pick capacities in the first stage and set prices in the second stage, the equilibrium outcome is that of a one-shot Cournot game. This note derives capacity best response functions for the first stage and extends the Kreps and Scheinkman result to the case of differentiated products.
文摘Unlike the Brock,Dechert,and Scheinkman(BDS)test,the Surrogate Data method is not only able to provide a nonlinearity test for exchange rates,but also distinguish whether the nonlinear features come from the economic system itself.Our analysis gives some evidence on the presence of nonlinear dependency of five emerging markets' exchange rates by using BDS test.Furthermore,we present evidence in existence of intrinsic and deterministic nonlinearity in the five exchange rates using the Surrogate Data method,comparing the original data and surrogate data and rejecting the null hypothesis in confidence coefficient 95%.The results provide the basis for the analyses of the chaotic properties of exchange rate time series and their future nonlinear forecasting.
基金the Key Projects of the China National Fund for Social Science(No.09AJY003)the Humanities and Social Sciences Project of Ministry of Education(No.2009JYJR037)
文摘This paper presents some empirical evidences on the presence of nonlinearity of exchange rates of six emerging markets by using Brock-Dechert-Scheinkman(BDS)test and Volterra-Wiener-Korenberg(VWK)model,respectively.The nonlinear dependences are found in the exchange rates of six emerging markets.Furthermore,this paper applies the VWK model with surrogate data method to detect if their nonlinear dependences are deterministic or not.The results show that the above exchange rates are deterministic and nonlinear time series.These imply that the exchange rate markets do not conform to the requirements of the random walk hypothesis.Therefore,the nonlinear dynamic model should be used to analyze the exchange rates.
