Thick breaks and trend stationarity: the case of euro-dollar exchange rate

Jean-François Goux ()
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Jean-François Goux: GATE, University of Lyon, CNRS, ENS-LSH, Centre Léon Bérard, France

No 826, Working Papers from Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon

Abstract: The taking into account of a period of break (thick break) makes it possible to correctly analyze the time series of the euro-dollar exchange rate. By retaining the posterior period with the Louvre agreements, but by eliminating the first years from existence of the euro, and until today, one can affirm that this rate is stationary and after trend stationary and thus that there is a mechanism of return towards a level (a trend) of equilibrium. This point is shown using a new procedure of test based on the elimination of thick breaks. That makes it possible to propose a forecast based on this deterministic trend

Keywords: euro-dollar exchange rate; stationarity; breaks; outliers (search for similar items in EconPapers)
JEL-codes: C32 F31 F32 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2008
New Economics Papers: this item is included in nep-cba, nep-eec, nep-ets and nep-ifn
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:gat:wpaper:0826

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