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Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model

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Author Info
Gilles DUFRENOT (ERUDITE Univ. Paris 12 & GREQAM Marseille)
Elisabeth GRIMAUD (GREQAM)
Eug=E9nie LATIL (GREQAM)
Val=E9rie MIGNON (THEMA univ. paris 10)

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Abstract

This 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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Paper provided by EconWPA in its series Econometrics with number 0309001.

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Date of creation: 04 Sep 2003
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Handle: RePEc:wpa:wuwpem:0309001

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
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

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  12. Sarno, Lucio & Taylor, Mark P. & Chowdhury, Ibrahim, 2004. "Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 1-25, February. [Downloadable!] (restricted)
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  14. Christopher F. Baum & Mustafa Caglayan & John Barkoulas, 1998. "Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era," Boston College Working Papers in Economics 404., Boston College Department of Economics, revised 16 Nov 1999. [Downloadable!]
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  15. Olga Arratibel & Diego Rodriguez-Palenzuela & Christian Thimann, 2002. "Inflation dynamics and dual inflation in accession countries: a 'New Keynesian' perspective," Working Paper Series 132, European Central Bank. [Downloadable!]
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  17. Paul De Grauwe & Marianna Grimaldi, 2002. "The Exchange Rate and its Fundamentals. A Chaotic Perspective," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
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