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

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Author Info
Mario Cerrato
Hyunsok Kim
Ronald MacDonald

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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://www.gla.ac.uk/media/media_125509_en.pdf
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Paper provided by Department of Economics, University of Glasgow in its series Working Papers with number 2009_26.

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Date of creation: Jul 2009
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Handle: RePEc:gla:glaewp:2009_26

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Web page: http://www.gla.ac.uk/departments/economics/
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Related research
Keywords: unit root tests; threshold autoregressive models; purchasing power parity.;

Find related papers by JEL classification:
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
F31 - International Economics - - International Finance - - - Foreign Exchange

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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). [Downloadable!]
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This page was last updated on 2009-11-30.

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