If you are experiencing problems downloading PDF or HTML fulltext, our helpdesk recommend clearing your browser cache and trying again. If you need help in clearing your cache, please click here . Still need help? Email help@ingentaconnect.com

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

$54.78 plus tax (Refund Policy)

Buy Article:

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.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840500390262

Affiliations: 1: ERUDITE, Université Paris 12 et GREQAM-CNRS, 2 rue de la Vieille Charité, 13002 Marseille, France 2: MODEM, Université Paris 10 et C3ED, Université de Versailles, UFR de Saint-Quentin en Yvelines, 47 boulevard Vauban, 78280, Guyancourt, France 3: THEMA, Université Paris 10 – Faculté de Sciences Economiques, 200 avenue de la République, 92001 Nanterre Cedex, France 4: GREQAM-CNRS, Centre de la Vieille Charité, 2 rue de la Vieille Charité, 13002 Marseille, France

Publication date: February 10, 2006

More about this publication?
Related content

Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
X
Cookie Policy
ingentaconnect 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