Skip to main content
Home / Applied Economics, Volume 38, Number 2

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

Buy Article:

$63.00 + tax (Refund Policy)

Authors: Dufrénot, Gilles 1 ; Mathieu, Laurent 2 ; Mignon, Valérie 3 ; Péguin-Feissolle, Anne 4 ; 

Source: Applied Economics, Volume 38, Number 2, Number 2/10 February 2006, pp. 203-229(27)

Publisher: Routledge, part of the Taylor & Francis Group

DOI: https://doi.org/10.1080/00036840500390262

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

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: 10 February 2006

More about this publication?

Share Content

  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content