Skip to main content

Three-Regime Asymmetric STAR Modeling and Exchange Rate Reversion

Buy Article:

$43.00 plus tax (Refund Policy)

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 uncertainty. This increased volatility leads economists to search for economic models able to describe observed exchange rate behavior. In the present paper, we propose more general STAR transition functions that encompass both threshold nonlinearity and asymmetric effects. Our framework allows for a gradual adjustment from one regime to another and considers threshold effects by encompassing other existing models, such as TAR models. We apply our methodology to three different exchange rate data sets: one for developing countries and official nominal exchange rates, the second for emerging market economies using black market exchange rates, and the third for OECD economies.
No References
No Citations
No Supplementary Data
No Article Media
No Metrics

Keywords: C16; C22; F31; purchasing power parity; threshold autoregressive models; unit root tests

Document Type: Research Article

Affiliations: 1: Mario Cerratois a Senior Lecturer at the Department of Economics, University of Glasgow (:  )., Email: [email protected] 2: Hyunsok Kimis a Ph.D. student at the Department of Economics, University of Glasgow (:  )., Email: [email protected] 3: Ronald MacDonaldis the Adam Smith Chair of Political Economy at the Department of Economics, University of Glasgow (:  )., Email: [email protected]

Publication date: 2010-10-01

  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more