Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5055930 | Economic Modelling | 2008 | 17 Pages |
Abstract
Long-lasting misalignments in the real exchange rates are sometimes explained by the presence of a nonlinear adjustment process towards the long-run equilibrium. However, while it is possible that evidence of nonlinearity exists for some real exchange rates, outliers and nonlinearity may easily be confused. This paper uses robust methods to examine and compare the behaviour of Smooth Transition Autoregressive [STAR] models for the real exchange rates of 14 countries. The results show that the evidence for nonlinearity is reduced when considering outliers. Nonlinearity is also more common among developing economies.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Antonia López Villavicencio,