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

Author

Listed:
  • Gilles DUFRENOT

    (ERUDITE Univ. Paris 12 & GREQAM Marseille)

  • Elisabeth GRIMAUD

    (GREQAM)

  • Eug=E9nie LATIL

    (GREQAM)

  • Val=E9rie MIGNON

    (THEMA univ. paris 10)

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.

Suggested Citation

  • Gilles DUFRENOT & Elisabeth GRIMAUD & Eug=E9nie LATIL & Val=E9rie MIGNON, 2003. "Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model," Econometrics 0309001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:0309001
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    References listed on IDEAS

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • P34 - Political Economy and Comparative Economic Systems - - Socialist Institutions and Their Transitions - - - Finance

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