文章基本信息

标题：3-Regime symmetric STAR modeling and exchange rate reversion
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作者：Mario Cerrato ; Hyunsok Kim ; Ronald MacDonald 等
期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2009
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：The breakdown of the Bretton Woods system and the adoption of generalized .oating exchange rates ushered in a new era of exchange rate volatility and uncer- tainty. This increased volatility lead economists to search for economic models able to describe observed exchange rate behavior. In the present paper we propose more general STAR transition functions which encompass both threshold nonlinearity and asymmetric e¡èects. Our framework allows for a gradual adjustment from one regime to another, and considers threshold e¡èects by encompassing other existing models, such as TAR models. We apply our methodology to three di¡èerent exchange rate data-sets, one for developing countries, and o¡é cial nominal exchange rates, the sec- ond emerging market economies using black market exchange rates and the third for OECD economies.
关键词：unit root tests, threshold autoregressive models, purchasing power parity.