Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration

Gilles Dufrénot (), Laurent Mathieu (), Valérie Mignon () and Anne Peguin-Feissolle

Applied Economics, 2006, vol. 38, issue 2, 203-229

Abstract: The asymmetric and persistent adjustment of the European real exchange rates is investigated using the framework of non-linear cointegration. The episodes of slow mean-reversion dynamics over the period from 1979 to 1999 are explained. A test of unit root against STAR cointegration is proposed and some complete estimations and stochastic simulations of ESTAR models are presented. The presence of effective non-linear adjustment during the moving of the currencies to their long-run fundamental equilibrium exchange rate value is discussed.

Date: 2006
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Related works:
Working Paper: Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration (2006)
Working Paper: Persistent misalignments of the European exchanges rates: some evidence from nonlinear cointegration (2003)
Working Paper: Persistent misalignments of the European exchange rates: some evidence from nonlinear cointegration (2002)
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DOI: 10.1080/00036840500390262

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