Nonlinear adjustment of real exchange rate towards purchasing power parity from G7: An exponential FISTAR modelling
The aim of this paper is to study the dynamics of the real exchange rate deviations of G7 countries by capturing nonlinearity and long memory features. In this context, we used fractionally integrated STAR (FISTAR) models proposed by Van Dijk et al. (2002) [Van Dijk, D., Franses, P.H., Paap, R., (2...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2015-02-01
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| Series: | Management Science Letters |
| Subjects: | |
| Online Access: | http://www.growingscience.com/msl/Vol5/msl_2015_5.pdf |