Modelling the misalignments of the Dollar-Sterling real exchange rate: a nonlinear cointegration perspective

Slim Chaouachi (), Gilles Dufrénot () and Valérie Mignon ()

International Finance from University Library of Munich, Germany

Abstract: This paper proposes a comparison of three nonlinear error- correction models to account for the asymmetric and slow adjustment dynamics of the Dollar-Sterling real exchange rate over a long period (1957-202). We conclude that two NEC models adequately describe the nonlinear mean-reverting mechanism: smooth transition and rational polynomial NEC models.

JEL-codes: C22 C52 (search for similar items in EconPapers)
Date: 2003-09-04
New Economics Papers: this item is included in nep-eec, nep-ets and nep-ifn
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https://econwpa.ub.uni-muenchen.de/econ-wp/if/papers/0309/0309002.pdf (application/pdf)

Related works:
Journal Article: Modelling the misalignments of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective (2004)
Working Paper: Modelling the misalignement of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpif:0309002

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