Nonlinear Error-Correction Models for the FF/DM Rate
Baghli Mustapha ()
Additional contact information
Baghli Mustapha: GREQAM, Université de la Méditerranée
Studies in Nonlinear Dynamics & Econometrics, 2005, vol. 9, issue 1, 43
Abstract:
This paper is devoted to the empirical analysis of the dynamic behaviour of the FF/DM parity during the September 1987-July 1993 period. By explicitly allowing the strength of adjustment to vary with the extent of equilibrium error, we successively perform parametric, semiparametric and nonparametric estimations of the functional form of the nonlinear error-correction term. On the basis of these econometric tools, we highlight a stronger correction of positive deviations of the parity from the level consistent with its macroeconomic fundamentals and a nonlinear reversion towards a set of equilibrium exchange rates. This asymmetric adjustment of deviations from equilibrium discloses a reluctance for the undervaluation of the FF over the period.
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://doi.org/10.2202/1558-3708.1085 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:9:y:2005:i:1:n:7
Ordering information: This journal article can be ordered from
https://www.degruyte ... ournal/key/snde/html
DOI: 10.2202/1558-3708.1085
Access Statistics for this article
Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach
More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().