This paper presents an empirical analysis of the medium-term determinants of the euro effective exchange rate. The … (BEER) and a Permanent Equilibrium Exchange Rate (PEER). Four different model specifications are retained, due to the … the euro effective exchange rate. Assessing the existence and the extent of the over- or undervaluation of the exchange …

In this paper we investigate in detail the relationship between models of cointegration between the current spot … exchange rate, st, and the current forward rate, ft, and models of cointegration between the future spot rate, st+1, and ft and … models of cointegration between st and ft more easily capture the stylized facts of typical exchange rate data than simple …

We investigate convergence towards Purchasing Power Parity (PPP) within the Euro Zone and between the Euro Zone and its … of the unit root hypothesis, and therefore evidence of PPP, in the Euro Zone for different numeraire currencies, as well … as in the Euro Zone plus the United States, with the US dollar as the numeraire currency, starting between 1996 and 1999 …

-1990. The empirical analysis was based on unit-root testing (using ADF tests) and Johansen’s methodology for the study of co-integration …

-1990. The empirical analysis was based on unit-root testing (using ADF tests) and Johansen’s methodology for the study of co-integration …

framework of nonlinear cointegration. We explain the episodes of slow mean- reversion dynamics over the period from 1979 to 1999 …. A test of unit root against STAR cointegration is proposed and we present some complete estimations and Stochastic …