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Modelling the misalignments of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective

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  • Valerie Mignon

    ()
    (University of Paris 10, THEMA-CNRS)

  • Gilles Dufrenot

    ()
    (University of Paris 12, ERUDITE, and GREQAM)

  • Slim Chaouachi

    ()
    (University of Paris 12)

Abstract

This paper proposes a comparison of three nonlinear error-correction models to account for the asymmetric and slow adjustment dynamics of the Dollar-Sterling real exchange rate over a long period (1957-2002). We conclude that two NEC models adequately describe the nonlinear mean-reverting mechanism: smooth transition and rational polynomial NEC models.

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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 3 (2004)
Issue (Month): 19 ()
Pages: 1-11

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Handle: RePEc:ebl:ecbull:eb-04c20019

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  11. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September.
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