McMillan D & Black A (2001) Nonlinear error correction in spot and forward exchange rates. Weltwirtschaftliches Archiv, 137 (4), pp. 737-750. https://doi.org/10.1007/bf02707431
First paragraph: There is increasing recognition that financial markets may be characterised by non-linear behaviour, perhaps resulting from market frictions such as transaction costs, which may cover a broad range of costs such as the bid-ask spread, short-selling and borrowing constraints and other transaction costs. A series of recent papers has examined both real and nominal exchange rates for the existence of possible threshold effects. In general this programme of research has found affirmative evidence of threshold effects within exchange rate series.
Weltwirtschaftliches Archiv: Volume 137, Issue 4