Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration - HAL-SHS - Sciences de l'Homme et de la Société Accéder directement au contenu
Article Dans Une Revue Applied Economics Année : 2006

Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration

Résumé

The asymmetric and persistent adjustment of the European real exchange rates is investigated using the framework of non-linear cointegration. The episodes of slow mean-reversion dynamics over the period from 1979 to 1999 are explained. A test of unit root against STAR cointegration is proposed and some complete estimations and stochastic simulations of ESTAR models are presented. The presence of effective non-linear adjustment during the moving of the currencies to their long-run fundamental equilibrium exchange rate value is discussed.
Fichier non déposé

Dates et versions

halshs-00256876 , version 1 (18-02-2008)

Identifiants

Citer

Gilles Dufrénot, Laurent Mathieu, Valérie Mignon, Anne Peguin-Feissolle. Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration. Applied Economics, 2006, 38 (2), pp.203-229. ⟨10.1080/00036840500390262⟩. ⟨halshs-00256876⟩
73 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More