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~institution:"Centre d'études prospectives et d'informations internationales (CEPII)"
~institution:"Departamento de Economía, Universidad Torcuato Di Tella"
~subject:"Smooth transition regression models"
~subject:"real exchange rates"
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Smooth transition regression models
real exchange rates
Carry trades
2
Threshold
2
BEER model
1
Conditional heteroskedasticity
1
Current account
1
Current-account imbalances
1
Default risk
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EMERGING ASIA
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Equilibrium exchange rate
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Fama equation
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Financial cycle
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Forecasting
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Forward premium
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MISALIGNMENS
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Nonlinear Models
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Nonlinear autoregressive models
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PANEL SMOOTH TRANSITION MODELS
1
Panel smooth transition regression
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Panel vector error correction model
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Safe haven
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Safe haven currencies
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Smooth Transition Threshold Autoregressive
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Smooth transition
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Smooth transition GARCH
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Stability
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Stock returns
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UIP puzzle
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anchor currency
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current-account persistence
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exchange-rate misalignments
1
financial development
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oil price
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panel smooth transition
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panel smooth transition regression models
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regression models
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rupture of pegs
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smooth transition regression models
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Coudert, Virginie
3
Mignon, Valérie
2
Couharde, Cécile
1
Guillaumin, Cyriac
1
Raymond, Hélene
1
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Centre d'études prospectives et d'informations internationales (CEPII)
Departamento de Economía, Universidad Torcuato Di Tella
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
1
Department of Economics, University of Warwick
1
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
1
Norges Bank
1
Núcleo de Investigação em Políticas Económicas (NIPE), Universidade do Minho
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Working Papers / Centre d'études prospectives et d'informations internationales (CEPII)
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Looking at the Other Side of Carry Trades: Are there any Safe Haven Currencies?
Coudert, Virginie
;
Guillaumin, Cyriac
;
Raymond, Hélene
-
Centre d'études prospectives et d'informations …
-
2014
(USD) meet these conditions. Second, we run a
smooth
transition
regression (STR) of the Fama equation, in which we add the …
Persistent link: https://www.econbiz.de/10010827774
Saved in:
2
Pegging emerging currencies in the face of dollar swings
Coudert, Virginie
;
Couharde, Cécile
;
Mignon, Valérie
-
Centre d'études prospectives et d'informations …
-
2012
appreciating, while sticking to it otherwise. To this end, we estimate
smooth-transition
regression models for a sample of 28 …
Persistent link: https://www.econbiz.de/10010604029
Saved in:
3
The “Forward Premium Puzzle” and the Sovereign Default Risk
Coudert, Virginie
;
Mignon, Valérie
-
Centre d'études prospectives et d'informations …
-
2011
on
smooth
transition
regression models, we show that default risk fuels the carry-trade gains during periods of upbeat …
Persistent link: https://www.econbiz.de/10009358500
Saved in:
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