A non-linear model of the real US/UK exchange rate

Journal of Applied Econometrics

Volumn 11, Issue 6, 1996, Pages 669-686

  Creedy, John ^a  

^a UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 21444437915     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/(sici)1099-1255(199611)11:6<669::aid-jae415>3.3.co;2-x     Document Type: Article

References (13)

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4. Baillie, R. T. and R. A. Pecchenino (1991), 'The search for equilibrium relationships in international finance: the case of the monetary model', Journal of International Money and Finance, 10, 582-593.
5. Baldwin, R. and R. Lyons (1989), 'Exchange rate hysteresis: the real effects of large vs small policy misalignments', NBER Working Paper, No.2828.
6. Chinn, M.D. (1991), 'Some linear and non-linear thoughts on exchange rates', Journal of International Money and Finance, 10, 214-230.
7. Cobb, L., P. Koppstein, and N. H. Chen (1983), 'Estimation and moment recursion relations for multimodal distributions of the exponential family', Journal of the American Statistical Association, 78, 124-130.
8. Cox, D. R. and H. D. Miller (1984), The Theory of Stochastic Processes, Chapman and Hall, London.
9. Creedy, J. and V. L. Martin (1993), 'Multiple equilibria and hysteresis in simple exchange models', Economic Modelling, 339-347.
10. Creedy, J. and V. L. Martin (1994), 'A model of the distribution of prices', Oxford Bulletin of Economics and Statistics, 56, 67-76.
11. Creedy, J., J. Lye and V. L. Martin (1994), 'Non-linearities and the long-run exchange rate distribution, in J. Creedy and V. L. Martin (eds), Chaos and Non-Linear Models in Economics, Edward Elgar, Aldershot.
12. Rotemberg, J. J. (1987), 'The new Keynesian microfoundations', in S. Pischer (ed.), NBER Macroeconomics Annual 1987, New York.
13. Schinasi G. and P. A. V. B. Swamy (1989), 'The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change', Journal of International Money and Finance, 8, 375-390.