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| Tekijä: | Peel, D.A. Venetis, I.A. |
| Otsikko: | Smooth transition models and arbitrage consistency |
| Lehti: | Economica
2005 : AUG, VOL. 72:287, p. 413-430 |
| Asiasana: | arbitrage linear models models |
| Kieli: | eng |
| Tiivistelmä: | This article discusses the slow adjustment of real exchange rate towards equilibrium in linear models, which has led to the adoption of nonlinearmodels. The exponential smooth transition model has been successful, providing faster adjustment speed. Some of its theoretical limitations are analysed and a new nonlinear model,which is more consistent with rational expectations, is introduced. |
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