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Persistent misalignments of the European exchange rates : some evidence from nonlinear cointegration

Listed author(s):
  • G. Dufrenot
  • L. Mathieu
  • V. Mignon,
  • A. Peguin-Feissolle

The asymmetric and persistent adjustment of the European real exchange rates is investigated using the framework of non-linear cointegration. The episodes of slow mean-reversion dynamics over the period from 1979 to 1999 are explained. A test of unit root against STAR cointegration is proposed and some complete estimations and stochastic simulations of ESTAR models are presented. The presence of effective non-linear adjustment during the moving of the currencies to their long-run fundamental equilibrium exchange rate value is discussed.

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File URL: http://www.u-cergy.fr/IMG/documents//2002-29Mignon.pdf
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Paper provided by THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise in its series THEMA Working Papers with number 2002-29.

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Date of creation: 2002
Handle: RePEc:ema:worpap:2002-29
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