Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model

Gilles Dufrénot (), Elisabeth GRIMAUD, Eug=E9nie LATIL and Valérie Mignon ()
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Elisabeth GRIMAUD: GREQAM
Eug=E9nie LATIL: GREQAM

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Abstract: This paper proposes an estimate of the Hungarian real exchange rate=20 misalignments using fractionally integrated threshold models (FI-STARMA and=20= FI-TARMA=20 processes). This allows us to simultaneously take into account two types of=20 persistence: a long memory behavior due to the influence of real factors and= a=20 nonlinear behavior where persistence is associated with regime-dependent eff= ects.=20 Our results suggest that the regime-switching is instantaneous since the=20 FI-TARMA process is adequate to describe the misalignment of the Hungarian=20 Currency.

JEL-codes: C22 C51 F31 P34 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-ets, nep-ifn and nep-tra
Date: 2003-09-04
Note: pdf file=20
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0309001

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