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| Valerie Mignon, Gilles Dufrenot and Slim Chaouachi |
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| ''Modelling the misalignments of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective'' |
| ( 2004, Vol. 3 No.19 ) |
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| This paper proposes a comparison of three nonlinear error-correction models to account for the asymmetric and slow adjustment dynamics of the Dollar-Sterling real exchange rate over a long period (1957-2002). We conclude that two NEC models adequately describe the nonlinear mean-reverting mechanism: smooth transition and rational polynomial NEC models. |
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| Keywords: |
JEL: C2 - Single Equation Models; Single Variables: General
C5 - Econometric Modeling: General |
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| Manuscript Received : Apr 22 2004 | | Manuscript Accepted : Jun 17 2004 |
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