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Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion

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Author Info

  • Cerrato, Mario
  • Kim, Hyunsok
  • MacDonald, Ronald

Abstract

The breakdown of the Bretton Woods system and the adoption of generalized oating exchange rates ushered in a new era of exchange rate volatility and uncer- tainty. This increased volatility lead economists to search for economic models able to describe observed exchange rate behavior. The present is a technical Appendix to Cerrato et al. (2009) and presents detailed simulations of the proposed methodology and additional empirical results.

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File URL: http://repo.sire.ac.uk/handle/10943/96
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Bibliographic Info

Paper provided by Scottish Institute for Research in Economics (SIRE) in its series SIRE Discussion Papers with number 2009-37.

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Date of creation: 2009
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Handle: RePEc:edn:sirdps:96

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Related research

Keywords: unit root tests; threshold autoregressive models; purchasing power parity;

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  1. Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER).
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Cited by:
  1. Mario Cerrato & Hyunsok Kim & Ronald Macdonald, 2010. "Three-Regime Asymmetric STAR Modeling and Exchange Rate Reversion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1447-1467, October.

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