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Title: Persistent misalignments of the European exchanges rates: some ev= idence from nonlinear cointegration
Author: Gilles DUFRENOT (ERUDITE Univ. Paris 12 and GREQAM Marseille) an= d Laurent MATHIEU (C3ed univ. St-Quentin en Yvelines) and Val=E9rie MIGNON (= THEMA univ. paris 10) and Anne PEGUIN-FEISSOLE (GREQAM-CNRS Marseille)
Contact: peguin@ehess.cnrs-mrs.fr
Comments: pdf file=20
JEL:  C32 C51 F31 F49
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Abstract
This paper investigates the asymmetric and persistent adjustment of the=20= European real exchange rates using the framework of nonlinear cointegration.= We explain the episodes of slow mean-reversion dynamics over the period fro= m 1979 to 1999. A test of unit root against STAR cointegration is proposed a= nd we present some complete estimations and Stochastic simulations of ESTAR=20= models. We conclude to the presence of effective nonlinear adjustment during= the moving of the currencies to their long-run fundamental equilibrium exch= ange rate value.
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