Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion
The breakdown of the Bretton Woods system and the adoption of generalized oating exchange rates ushered in a new era of exchange rate volatility and uncer- tainty. This increased volatility lead economists to search for economic models able to describe observed exchange rate behavior. The present is a technical Appendix to Cerrato et al. (2009) and presents detailed simulations of the proposed methodology and additional empirical results.
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2010.
"Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model,"
Annals of Economics and Statistics,
GENES, issue 99-100, pages 395-427.
- Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER).
- Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2010. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," Post-Print hal-00685810, HAL.
- Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2009. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," CIRANO Working Papers 2009s-18, CIRANO.
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