Modelling the misalignments of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective
AbstractThis 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 InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 3 (2004)
Issue (Month): 19 ()
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Other versions of this item:
- Slim CHAOUACHI & Gilles DUFRENOT & Val=E9rie MIGNON, 2003. "Modelling the misalignments of the Dollar-Sterling real exchange rate: a nonlinear cointegration perspective," International Finance 0309002, EconWPA.
- S. Chaouachi & G. Dufrenot & V.Mignon, 2003. "Modelling the misalignement of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective," THEMA Working Papers 2003-03, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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