Persistent misalignments of the European exchanges rates: some evidence from nonlinear cointegration

Gilles Dufrénot (), Laurent MATHIEU, Valérie Mignon () and Anne PEGUIN-FEISSOLE
Additional contact information
Laurent MATHIEU: C3ed univ. St-Quentin en Yvelines
Anne PEGUIN-FEISSOLE: GREQAM-CNRS Marseille
Authors registered in the RePEc Author Service: Anne PEGUIN-FEISSOLLE ()

International Finance from EconWPA

Abstract: This paper investigates the asymmetric and persistent adjustment of the European real exchange rates using the 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 simulations of ESTAR models. We conclude to the presence of effective nonlinear adjustment during the moving of the currencies to their long-run fundamental equilibrium exchange rate value.

JEL-codes: C32 C51 F31 F49 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-ets and nep-ifn
Date: 2003-09-04
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Related works:
Working Paper: Persistent misalignments of the European exchange rates: some evidence from nonlinear cointegration (2002)
Journal Article: Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpif:0309003

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