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

Gilles Dufrénot (gilles.dufrenot@sciencespo-aix.fr), Laurent Mathieu (laurent.mathieu@uvsq.fr), Valérie Mignon (valerie.mignon@parisnanterre.fr) and Anne Peguin-Feissolle
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Anne Peguin-Feissolle: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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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.

Keywords: FOREIGN exchange rates; COINTEGRATION; FOREIGN; exchange; RATES; ECONOMETRICS (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (16)

Published in Applied Economics, 2006, 38 (2), pp.203-229. ⟨10.1080/00036840500390262⟩

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Journal Article: Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration (2006) Downloads
Working Paper: Persistent misalignments of the European exchanges rates: some evidence from nonlinear cointegration (2003) Downloads
Working Paper: Persistent misalignments of the European exchange rates: some evidence from nonlinear cointegration (2002) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00256876

DOI: 10.1080/00036840500390262

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