English, Article, Journal or magazine article edition: Real exchange rates and real interest rates : a nonlinear perspective FrŽdŽrique BEC; MŽlika BEN SALEM; Ronald MACDONALD

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Real exchange rates and real interest rates : a nonlinear perspective
Author
  • FrŽdŽrique BEC
  • MŽlika BEN SALEM
  • Ronald MACDONALD
Physical Description
  • preprint
Notes
  • In this paper we use a Threshold AutoRegressive (TAR) model to capture the nonlinear dynamics of monthly real effective exchange rate data for the G7 countries. The novelty of our approach relates to the use of the real interest differential as the switching variable. This choice allows us to consider jointly the nonlinearity and nonstationarity issues using rŽcent advances in asymptotic theory. We find that the null of linearity is easily rejected against the nonlinear model for ail currencies considered. Further, for five out of the seven countries, where the null of unit root is rejected, we report evidence of quite rapid mean reversion.
  • Real exchange rate, threshold autoregressive model, unit-root
  • RePEc:ctl:louvre:2006024
Language
  • English
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