Modelling the misalignments of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective

Valérie Mignon (), Gilles Dufrénot () and Slim Chaouachi ()

Economics Bulletin, 2004, vol. 3, issue 19, 1-11

Abstract: This paper proposes a comparison of three nonlinear error-correction models to account for the asymmetric and slow adjustment dynamics of the Dollar-Sterling real exchange rate over a long period (1957-2002). We conclude that two NEC models adequately describe the nonlinear mean-reverting mechanism: smooth transition and rational polynomial NEC models.

JEL-codes: C2 C5 (search for similar items in EconPapers)
Date: 2004-06-17
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Modelling the misalignement of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective (2003)
Working Paper: Modelling the misalignments of the Dollar-Sterling real exchange rate: a nonlinear cointegration perspective (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-04c20019

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