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

Author

Listed:
  • Valerie Mignon

    (University of Paris 10, THEMA-CNRS)

  • Gilles Dufrenot

    (University of Paris 12, ERUDITE, and GREQAM)

  • Slim Chaouachi

    (University of Paris 12)

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 (1957-2002). We conclude that two NEC models adequately describe the nonlinear mean-reverting mechanism: smooth transition and rational polynomial NEC models.

Suggested Citation

  • Valerie Mignon & Gilles Dufrenot & Slim Chaouachi, 2004. "Modelling the misalignments of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective," Economics Bulletin, AccessEcon, vol. 3(19), pages 1-11.
    • Handle: RePEc:ebl:ecbull:eb-04c20019
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    More about this item

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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