A non-linear model of the real US/UK exchange rate
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...
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| Veröffentlicht in: | Journal of applied econometrics (Chichester, England) England), 1996-11, Vol.11 (6), p.669-686 |
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| container_end_page | 686 |
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| container_issue | 6 |
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| container_title | Journal of applied econometrics (Chichester, England) |
| container_volume | 11 |
| creator | Creedy, John Lye, Jenny Martin, Vance L. |
| description | 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 shapes including multimodality. The main result is that swings in the US/UK rate over the period 1973:3 to 1990:5 can be attributed to the distribution becoming bimodal with the rate switching between equilibria. By capturing these changes in the distribution, the non-linear model yields improvements over the random walk, the speculative efficiency model, and Hamilton's stochastic segmented trends model. |
| doi_str_mv | 10.1002/(SICI)1099-1255(199611)11:6<669::AID-JAE415>3.0.CO;2-5 |
| format | Article |
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Econ</addtitle><description>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 shapes including multimodality. The main result is that swings in the US/UK rate over the period 1973:3 to 1990:5 can be attributed to the distribution becoming bimodal with the rate switching between equilibria. 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Appl. Econ</addtitle><date>1996-11</date><risdate>1996</risdate><volume>11</volume><issue>6</issue><spage>669</spage><epage>686</epage><pages>669-686</pages><issn>0883-7252</issn><eissn>1099-1255</eissn><coden>JAECET</coden><abstract>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 shapes including multimodality. The main result is that swings in the US/UK rate over the period 1973:3 to 1990:5 can be attributed to the distribution becoming bimodal with the rate switching between equilibria. 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| identifier | ISSN: 0883-7252 |
| ispartof | Journal of applied econometrics (Chichester, England), 1996-11, Vol.11 (6), p.669-686 |
| issn | 0883-7252 1099-1255 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38994272 |
| source | Wiley Online Library Journals Frontfile Complete; Periodicals Index Online; Jstor Complete Legacy |
| subjects | Comparative studies Dollar Econometrics Economic models Exchange rates Forecasting models Foreign exchange rates Gaussian distributions Linear models Modeling Non-linear models Nonlinear programming Pound sterling Random walk Real exchange rates Stochastic models U.S.A United Kingdom |
| title | A non-linear model of the real US/UK exchange rate |
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