Modelling the misalignments of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective
This paper proposes a comparison of three nonlinear error-correction models to account for the asymmetric and slow adjustment dynamics of the Dollar-Sterling real exchange rate over a long period (1957-2002). We conclude that two NEC models adequately describe the nonlinear mean-reverting mechanism: smooth transition and rational polynomial NEC models.
Volume (Year): 3 (2004)
Issue (Month): 19 ()
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