Grossmann, Axel; McMillan, David G. - In: Journal of International Financial Markets, … 20 (2010) 4, pp. 436-450
By linking two main strands of equilibrium exchange rate research, this paper models and forecasts exchange rate movements around a time-varying equilibrium using both linear and non-linear techniques. Our results support evidence of linear and non-linear (ESTR) stationary behaviour around a...