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Thick breaks and trend stationarity : the case of euro-dollar exchange rate

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  • Jean-François Goux

    ()
    (GATE, University of Lyon, CNRS, ENS-LSH, Centre Léon Bérard, France)

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    Abstract

    The taking into account of a period of break (thick break) makes it possible to correctly analyze the time series of the euro-dollar exchange rate. By retaining the posterior period with the Louvre agreements, but by eliminating the first years from existence of the euro, and until today, one can affirm that this rate is stationary and after trend stationary and thus that there is a mechanism of return towards a level (a trend) of equilibrium. This point is shown using a new procedure of test based on the elimination of thick breaks. That makes it possible to propose a forecast based on this deterministic trend

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    File URL: ftp://ftp.gate.cnrs.fr/RePEc/2008/0826.pdf
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    Bibliographic Info

    Paper provided by Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure in its series Working Papers with number 0826.

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    Length: 27 pages
    Date of creation: 2008
    Date of revision:
    Handle: RePEc:gat:wpaper:0826

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    Keywords: euro-dollar exchange rate; stationarity; breaks; outliers;

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