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
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)
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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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