Modelling the misalignments of the Dollar-Sterling real exchange rate: a nonlinear cointegration perspective

This paper proposes a comparison of three nonlinear error- correction models to account for the asymmetric and slow adjustment dynamics of the Dollar-Sterling real exchange rate over a long period (1957-202). We conclude that two NEC models adequately describe the nonlinear mean-reverting mechanism: smooth transition and rational polynomial NEC models.

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Year of publication:	2003-09-04
Authors:	CHAOUACHI, Slim ; DUFRENOT, Gilles ; Val=E9rie MIGNON
Institutions:	EconWPA

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Extent:	application/pdf
Series:	International Finance.
Type of publication:	Book / Working Paper
Notes:	pdf file
Classification:	C22 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005062688