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Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration |
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| Authors: | Gilles Dufrénot Laurent Mathieu Valérie Mignon |
| Affiliation: | 1. ERUDITE, Université Paris 12 et GREQAM-CNRS , 2 rue de la Vieille Charité , 13002 Marseille, France;2. MODEM, Université Paris 10 et C3ED, Université de Versailles , UFR de Saint-Quentin en Yvelines, 47 boulevard Vauban , 78280, Guyancourt, France;3. THEMA, Université Paris 10 – Faculté de Sciences Economiques , 200 avenue de la République , 92001 Nanterre Cedex, France |
| Abstract: | The asymmetric and persistent adjustment of the European real exchange rates is investigated using the framework of non-linear cointegration. The episodes of slow mean-reversion dynamics over the period from 1979 to 1999 are explained. A test of unit root against STAR cointegration is proposed and some complete estimations and stochastic simulations of ESTAR models are presented. The presence of effective non-linear adjustment during the moving of the currencies to their long-run fundamental equilibrium exchange rate value is discussed. |
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