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

Gilles Dufrénot (), Laurent Mathieu (), Valérie Mignon () and Anne Peguin-Feissole
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Anne Peguin-Feissole: GREQAM-CNRS Marseille

International Finance from University Library of Munich, Germany

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)
Date: 2003-09-04
New Economics Papers: this item is included in nep-eec, nep-ets and nep-ifn
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https://econwpa.ub.uni-muenchen.de/econ-wp/if/papers/0309/0309003.pdf (application/pdf)

Related works:
Journal Article: Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration (2006)
Working Paper: Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration (2006)
Working Paper: Persistent misalignments of the European exchange rates: some evidence from nonlinear cointegration (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpif:0309003

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