A fractionally integrated exponential STAR model applied to the US real effective exchange rate

The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing non-linearity and long-memory features. In this context, we use the family of fractionally integrated STAR (FISTAR) models proposed by van Dijk et al. (van Dijk, D., Franses, P.H., and Paap, R., 2002....

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Bibliographic Details
Published in:Economic modelling 2009-03, Vol.26 (2), p.335-341
Main Authors: Boutahar, Mohamed, Mootamri, Imène, Péguin-Feissolle, Anne
Format: Article
Language:English
Subjects:
Economic models
Economics and Finance
Estimating techniques
Estimation
Exchange rates
Forecasting
Forecasts
Foreign exchange rates
Fractional integration
Fractional integration Non-linearity STAR models Long-memory Real effective exchange rate Forecasting
Humanities and Social Sciences
Long-memory
Memory
Non-linear models
Non-linearity
Real effective exchange rate
STAR models
Studies
U.S.A
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Summary:The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing non-linearity and long-memory features. In this context, we use the family of fractionally integrated STAR (FISTAR) models proposed by van Dijk et al. (van Dijk, D., Franses, P.H., and Paap, R., 2002. A non-linear longmemory model with an application to US unemployment. Journal of Econometrics 110, 135–165.) in the case when the transition function is an exponential function and we develop an estimation procedure. Indeed, these models can take into account processes characterized by several distinct dynamic regimes and persistence phenomena.
ISSN:0264-9993
1873-6122
DOI:10.1016/j.econmod.2008.07.019