Modelling the FF/DM Rate by Thresholding Cointegration Analysis.

This paper investigates a monetary model of exchange rate determination: an extension of the Krugman basic target zone model with price inertia applied to the French Franc. We consider a novel theoretical argument, the Threshold Cointegration, such that the long-run relationship between the parity and its fundamental is formant within a certain range of disequilibria but is activated when the system crosses the boundaries.

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Year of publication:	2000
Authors:	Baghli, M.
Institutions:	Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), Aix-Marseille School of Economics (AMSE)
Subject:	INTERNATIONAL ECONOMY \| EXCHANGE RATE \| CURRENCIES \| ECONOMIC MODELS \| REGRESSION ANALYSIS

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Series:	G.R.E.Q.A.M..
Type of publication:	Book / Working Paper
Notes:	36 pages
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation ; F31 - Foreign Exchange ; F33 - International Monetary Arrangements and Institutions
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005669452