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ACROSS TIME AND REGIMES: 212 YEARS OF THE US-UK REAL EXCHANGE RATE

✍ Scribed by WILLIAM D. CRAIGHEAD


Book ID
110929843
Publisher
Oxford University Press
Year
2010
Tongue
English
Weight
544 KB
Volume
48
Category
Article
ISSN
0095-2583

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A non-linear model of the real US/UK exc
✍ John Creedy; Jenny Lye; Vance L. Martin πŸ“‚ Article πŸ“… 1996 πŸ› John Wiley and Sons 🌐 English βš– 1018 KB

This paper provides a framework for building and estimating non-linear real exchange rate models. The approach derives the stationary distribution from a continuous time error correction model and estimates this by MLE methods. The derived distribution exhibits a wide variety of distributional shape