Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion
AbstractThe 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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Bibliographic InfoPaper provided by Business School - Economics, University of Glasgow in its series Working Papers with number 2009_26.
Date of creation: Jul 2009
Date of revision:
unit root tests; threshold autoregressive models; purchasing power parity.;
Other versions of this item:
- Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2009. "Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion," SIRE Discussion Papers 2009-37, Scottish Institute for Research in Economics (SIRE).
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-07-28 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Frédérique Bec & Mélika Bensalem & Marine Carrasco, 2010.
"Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model,"
- Frédérique BEC & Mélika BEN SALEM & Marine CARRASCO, 2010. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model," Annales d'Economie et de Statistique, ENSAE, issue 99-100, pages 395-427.
- Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2009. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," CIRANO Working Papers 2009s-18, CIRANO.
- 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).
- 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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