Real Exchange Rates and Real Interest Rates: a nonlinear Perspective
AbstractIn this paper we use a Threshold AutoRegressive (TAR) model to capture the non-linear dynamics of 7 real effective exchange rates, defines for the recent floating period. The so-called real exchange rate -real interest rate model is exploited in a novel way to define the thresholds.
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Bibliographic InfoPaper provided by Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. in its series Papers with number 99-17.
Length: 25 pages
Date of creation: 1999
Date of revision:
Contact details of provider:
Postal: THEMA, Universite de Paris X-Nanterre, U.F.R. de science economiques, gestion, mathematiques et informatique, 200, avenue de la Republique 92001 Nanterre CEDEX.
EXCHANGE RATE ; INTEREST RATE ; ECONOMIC MODELS;
Other versions of this item:
- Frédérique Bec & Mélika Ben Salem & Ronald MacDonald, 2006. "Real exchange rates and real interest rates : a nonlinear perspective," Recherches économiques de Louvain, De Boeck Université, vol. 72(2), pages 177-194.
- F. Bec & M. Ben Salem & R. MacDonald, 1999. "Real exchange rates and real interest rates : A nonlinear perspective," THEMA Working Papers 99-17, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Frédérique BEC & Mélika BEN SALEM & Ronald MACDONALD, 2006. "Real exchange rates and real interest rates : a nonlinear perspective," Discussion Papers (REL - Recherches Economiques de Louvain) 2006024, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- F31 - International Economics - - International Finance - - - Foreign Exchange
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