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Real or monetary? The US/UK real exchange rate, 1921–2002

✍ Scribed by Angelos Kanas


Book ID
116575165
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
208 KB
Volume
15
Category
Article
ISSN
1042-4431

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A non-linear model of the real US/UK exc
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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