Real Exchange Rates and Real Interest Rates: a nonlinear Perspective

Frédérique Bec, M.B. Salem and Ronald MacDonald ()

Working Papers from Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.

Abstract: In this paper we use a Threshold AutoRegressive (TAR) model to capture the non-linear dynamics of 7 real effective exchange rates, defines for the recent floating period. The so-called real exchange rate -real interest rate model is exploited in a novel way to define the thresholds.

Keywords: EXCHANGE RATE; INTEREST RATE; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: C53 E43 F31 (search for similar items in EconPapers)
Date: 1999
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Related works:
Working Paper: Real exchange rates and real interest rates: a nonlinear perspective (2006)
Working Paper: Real exchange rates and real interest rates: A nonlinear perspective (1999)
Journal Article: Real exchange rates and real interest rates: a nonlinear perspective (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:fth:pnegmi:99-17

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