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Exchange Rate Instability: A Threshold Autoregressive Approach

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  • Henry, Olan T
  • Olekalns, Nilss
  • Summers, Peter M

Abstract

We fit a two-regime threshold autoregressive model to a trade weighted index of the Australian real exchange rate. We find strong evidence of a threshold in the real exchange rate, with the data being classified into two regimes. The timing of the first regime is consistent with events that would be expected to have led to pressure on the Australian exchange rate. However, there is no evidence to suggest that the Asian economic crisis led to the real exchange rate entering this regime. Copyright 2001 by The Economic Society of Australia.

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Bibliographic Info

Article provided by The Economic Society of Australia in its journal The Economic Record.

Volume (Year): 77 (2001)
Issue (Month): 237 (June)
Pages: 160-66

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Handle: RePEc:bla:ecorec:v:77:y:2001:i:237:p:160-66

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Cited by:
  1. Chong, Terence Tai Leung & Yan, Isabel K., 2014. "Estimating and Testing Threshold Regression Models with Multiple Threshold Variables," MPRA Paper 54732, University Library of Munich, Germany.
  2. Mubariz Hasanov, 2012. "Re-examining Purchasing Power Parity for the Australian Real Exchange Rate," Hacettepe University Department of Economics Working Papers 20124, Hacettepe University, Department of Economics.
  3. Henry, O.T. & Summers, P.M., 2000. "Australian Economic Growth: Non-Linearities and Internaitonal Influences," Department of Economics - Working Papers Series 738, The University of Melbourne.
  4. Terasvirta, Timo, 2006. "Forecasting economic variables with nonlinear models," Handbook of Economic Forecasting, Elsevier.
  5. Paulo M.M. Rodrigues & Nazarii Salish, 2011. "Modeling and Forecasting Interval Time Series with Threshold Models: An Application to S&P500 Index Returns," Working Papers w201128, Banco de Portugal, Economics and Research Department.
  6. Adrian Pagan, 2002. "Learning About Models and Their Fit to Data," International Economic Journal, Taylor & Francis Journals, vol. 16(2), pages 1-18.
  7. Venus Khim-sen Liew & Terence Tai- leung Chong, 2003. "Effects of STAR and TAR types nonlinearities on order selection criteria," Econometrics 0307005, EconWPA.
  8. Henry, Olan T. & Olekalns, Nilss, 2002. "Does the Australian dollar real exchange rate display mean reversion," Journal of International Money and Finance, Elsevier, vol. 21(5), pages 651-666, October.

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