English, Article, Journal or magazine article edition: Thick breaks and trend stationarity : the case of euro-dollar exchange rate Jean-François Goux

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Bookmark: http://trove.nla.gov.au/version/200544
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Thick breaks and trend stationarity : the case of euro-dollar exchange rate
Author
  • Jean-François Goux
Physical Description
  • preprint
Notes
  • The taking into account of a period of break (thick break) makes it possible to correctly analyze the time series of the euro-dollar exchange rate. By retaining the posterior period with the Louvre agreements, but by eliminating the first years from existence of the euro, and until today, one can affirm that this rate is stationary and after trend stationary and thus that there is a mechanism of return towards a level (a trend) of equilibrium. This point is shown using a new procedure of test based on the elimination of thick breaks. That makes it possible to propose a forecast based on this deterministic trend
  • euro-dollar exchange rate, stationarity, breaks, outliers
  • RePEc:gat:wpaper:0826
Language
  • English
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