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Valerie Mignon, Gilles Dufrenot and Slim Chaouachi
''Modelling the misalignments of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective''
( 2004, Vol. 3 No.19 )
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.
JEL: C2 - Single Equation Models; Single Variables: General
C5 - Econometric Modeling: General
Manuscript Received : Apr 22 2004 Manuscript Accepted : Jun 17 2004

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