Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model
AbstractThis paper proposes an estimate of the Hungarian real exchange rate=20 misalignments using fractionally integrated threshold models (FI-STARMA and=20= FI-TARMA=20 processes). This allows us to simultaneously take into account two types of=20 persistence: a long memory behavior due to the influence of real factors and= a=20 nonlinear behavior where persistence is associated with regime-dependent eff= ects.=20 Our results suggest that the regime-switching is instantaneous since the=20 FI-TARMA process is adequate to describe the misalignment of the Hungarian=20 Currency.
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Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- F31 - International Economics - - International Finance - - - Foreign Exchange
- P34 - Economic Systems - - Socialist Institutions and Their Transitions - - - Finance
This paper has been announced in the following NEP Reports:
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- NEP-EEC-2003-09-08 (European Economics)
- NEP-ETS-2003-09-08 (Econometric Time Series)
- NEP-IFN-2003-09-08 (International Finance)
- NEP-TRA-2003-09-08 (Transition Economics)
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