Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion
نویسندگان
چکیده
The breakdown of the Bretton Woods system and the adoption of generalized oating exchange rates ushered in a new era of exchange rate volatility and uncertainty. This increased volatility lead economists to search for economic models able to describe observed exchange rate behavior. The present is a technical Appendix to Cerrato et al. (2009) and presents detailed simulations of the proposed methodology and additional empirical results. JEL Classi cation: C16, C22, F31
منابع مشابه
3-Regime asymmetric STAR modeling and exchange rate reversion
The breakdown of the Bretton Woods system and the adoption of generalized oating exchange rates ushered in a new era of exchange rate volatility and uncertainty. This increased volatility lead economists to search for economic models able to describe observed exchange rate behavior. In the present paper we propose more general STAR transition functions which encompass both threshold nonlineari...
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