Bec, Frédérique; Salem, Mélika Ben; MacDonald, Ronald - In: Recherches économiques de Louvain 72 (2006) 2, pp. 177-194
<marquage typemarq="gras"/> In this paper we use a Threshold AutoRegressive (TAR) model to capture the nonlinear dynamics of monthly real effective exchange rate data for the G7 countries. The novelty of our approach relates to the use of the real interest differential as the switching variable. This choice allows us to...
