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 (1957-2002). 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:	2004-06-17
Authors:	Mignon, Valerie ; Dufrenot, Gilles ; Chaouachi, Slim
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2004, 19, p. 1-11
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Classification:	C2 - Econometric Methods: Single Equation Models ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010835929