Coïntégration entre les taux de change et les fondamentaux. Changement de régime ou mémoire longue ?

Gilles Dufrénot (), Sandrine Lardic (), Laurent Mathieu (), Valérie Mignon () and Anne Péguin-Feissolle

Revue économique, 2004, vol. 55, issue 3, 449-458

Abstract: Our object is to study the adjustment process of five European exchange rates toward their fundamentals on the 1979-1999 period. We consider two approaches, namely nonlinear cointegration and fractional cointegration, in order to discriminate between nonlinear short memory and linear long memory adjustment dynamics. The persistent deviations observed between the French real exchange rate and its fundamentals can be explained by the presence of long memory in the adjustment process. Classification JEL : C22, F31.

JEL-codes: C22 F31 (search for similar items in EconPapers)
Date: 2004
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Working Paper: Cointégration entre les taux de change et les fondamentaux: changement de régime ou mémoire longue ? (2004)
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