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

  • Gilles DUFRENOT

    (ERUDITE Univ. Paris 12 & GREQAM Marseille)

  • Elisabeth GRIMAUD

    (GREQAM)

  • Eug=E9nie LATIL

    (GREQAM)

  • Val=E9rie MIGNON

    (THEMA univ. paris 10)

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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File URL: http://128.118.178.162/eps/em/papers/0309/0309001.pdf
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Paper provided by EconWPA in its series Econometrics with number 0309001.

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Date of creation: 04 Sep 2003
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Handle: RePEc:wpa:wuwpem:0309001
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  8. Sarno, Lucio & Taylor, Mark P. & Chowdhury, Ibrahim, 2004. "Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 1-25, February.
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