Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion

Mario Cerrato, Hyunsok Kim and Ronald MacDonald

No 2009-37, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

Abstract: The breakdown of the Bretton Woods system and the adoption of generalized oating exchange rates ushered in a new era of exchange rate volatility and uncer- tainty. This increased volatility lead economists to search for economic models able to describe observed exchange rate behavior. The present is a technical Appendix to Cerrato et al. (2009) and presents detailed simulations of the proposed methodology and additional empirical results.

Keywords: unit root tests; threshold autoregressive models; purchasing power parity (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:edn:sirdps:96

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