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Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model Author info | Abstract | Publisher info | Download info | Related research | Statistics 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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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 2003Date of revision:
Handle: RePEc:wpa:wuwpem:0309001Note: pdf file=20Contact details of provider: Web page: http://129.3.20.41
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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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