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

被引：9

作者：

Dufrénot, G

Mathieu, L

Mignon, V

Péguin-Feissolle, A

机构：

[1] Ctr Vieille Charite, CNRS, GREQAM, F-13002 Marseille, France

[2] Univ Paris 12, ERUDITE, F-13002 Marseille, France

[3] CNRS, GREQAM, F-13002 Marseille, France

[4] Univ Paris 10, MODEM, F-78280 Guyancourt, France

[5] Univ Versailles, UFR St Quetin Yvelines, F-78280 Guyancourt, France

[6] Univ Paris 10, THEMA, Fac Sci Econ, F-92001 Nanterre, France

来源：

APPLIED ECONOMICS | 2006年 / 38卷 / 02期

关键词：

D O I：

10.1080/00036840500390262

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：203 / 229

页数：27

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