Real Exchange Rates and Real Interest Rates: a nonlinear Perspective.

In this paper we use a Threshold AutoRegressive (TAR) model to capture the non-linear dynamics of 7 real effective exchange rates, defines for the recent floating period. The so-called real exchange rate -real interest rate model is exploited in a novel way to define the thresholds.

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Year of publication:	1999
Authors:	Bec, F. ; Salem, M.B. ; MacDonald, R.
Institutions:	Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
Subject:	EXCHANGE RATE \| INTEREST RATE \| ECONOMIC MODELS

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Series:	Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
Type of publication:	Book / Working Paper
Notes:	25 pages
Classification:	C53 - Forecasting and Other Model Applications ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005618910