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

Mario Cerrato, Hyunsok Kim and Ronald MacDonald

Working Papers from Business School - Economics, University of Glasgow

Abstract: The breakdown of the Bretton Woods system and the adoption of generalized floating 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)
JEL-codes: C16 C22 F31 (search for similar items in EconPapers)
Date: 2009-07
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Citations: View citations in EconPapers (1)

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Working Paper: Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:gla:glaewp:2009_26

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