Modelling the FF/DM Rate by Thresholding Cointegration Analysis

M. Baghli

G.R.E.Q.A.M. from Universite Aix-Marseille III

Abstract: This paper investigates a monetary model of exchange rate determination: an extension of the Krugman basic target zone model with price inertia applied to the French Franc. We consider a novel theoretical argument, the Threshold Cointegration, such that the long-run relationship between the parity and its fundamental is formant within a certain range of disequilibria but is activated when the system crosses the boundaries.

Keywords: INTERNATIONAL ECONOMY; EXCHANGE RATE; CURRENCIES; ECONOMIC MODELS; REGRESSION ANALYSIS (search for similar items in EconPapers)
JEL-codes: C22 C51 F31 F33 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:fth:aixmeq:00b02

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