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- W2246037006 abstract "Slow adjustment of real exchange rate towards equilibrium in linear models has long puzzled researchers, stimulating the adoption of nonlinear models. The exponential smooth transition model has been particularly successful, providing faster adjustment speeds. This paper discusses some of its theoretical limitations, for example that expectations are adaptive. We propose a new nonlinear model conceptually superior to the ESTAR model since it is consistent with rational expectations. One of its advantages is that it can be solved and estimated by nonlinear least squares. Using monthly post‐1973 real exchange rate data, we show that the model implies even faster speeds of adjustment." @default.
- W2246037006 created "2016-06-24" @default.
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- W2246037006 date "2005-07-19" @default.
- W2246037006 modified "2023-10-12" @default.
- W2246037006 title "Smooth Transition Models and Arbitrage Consistency" @default.
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- W2246037006 doi "https://doi.org/10.1111/j.0013-0427.2005.00423.x" @default.
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