Nonlinear Error-Correction Models for the FF/DM Rate
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Mustapha Baghli
This paper is devoted to the empirical analysis of the dynamic behaviour of the FF/DM parity during the September 1987-July 1993 period. By explicitly allowing the strength of adjustment to vary with the extent of equilibrium error, we successively perform parametric, semiparametric and nonparametric estimations of the functional form of the nonlinear error-correction term. On the basis of these econometric tools, we highlight a stronger correction of positive deviations of the parity from the level consistent with its macroeconomic fundamentals and a nonlinear reversion towards a set of equilibrium exchange rates. This asymmetric adjustment of deviations from equilibrium discloses a reluctance for the undervaluation of the FF over the period.
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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- Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures
- Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices
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Artikel in diesem Heft
- Article
- A Video Interview of Buz Brock
- A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
- Small Sample Bias of Alternative Estimation Methods for Moment Condition Models: Monte Carlo Evidence for Covariance Structures
- Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices
- Transitional Dynamics in an Endogenous Growth Model with Physical Capital, Human Capital and R&D
- Wavelet Transforms and Commodity Prices
- Nonlinear Error-Correction Models for the FF/DM Rate
- Replication
- Inflation Dynamics of Turkey: A Structural Estimation
