La prochaine séance du séminaire Hotelling, commun au CES-ENS Cachan et à l’ADIS, se déroulera exceptionnellement le mardi 2 avril de 16h à 17h30, à Sceaux. Nous aurons le plaisir de recevoir Mélika Ben Salem (Centre d’Etudes de l’Emploi, PSE et Université Paris-Est) , qui présentera un article co-écrit avec Frédérique Bec et Marine Carrasco : “Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model”
Abstract : Recent studies on general equilibrium models with transaction costs show that the dynamics of the real exchange rate are necessarily nonlinear. Our contribution to the literature on nonlinear price adjustment mechanisms is threefold. First, we model the real exchange rate by a Multi-Regime Logistic Smooth Transition Auto Regression (MR-LSTAR), allowing for both ESTAR-type and SETAR-type dynamics. This choice is motivated by the fact that even the theoretical models, which predict a smooth behavior for the real exchange rate, do not rule out the possibility of a discontinuous adjustment as a limit case. Second, we propose two classes of unit-root tests against this MR-LSTAR alternative, based respectively on the likelihood and on an auxiliary model. Their asymptotic distributions are derived analytically. Third, when applied to 28 bilateral real exchange rates, our tests reject the null hypothesis of a unit root for eleven series bringing evidence in favor of the purchasing power parity.
Lieu du séminaire :
Université Paris Sud – Faculté Jean Monnet
Salle Jean Gaudemet
Bâtiment D – 1er étage
54, Boulevard Desgranges , Sceaux
RER B Station Robinson
Le programme du séminaire pour l’année 2012-2013 et le plan d’accès à la salle Jean Gaudemet sont disponibles ici
Cordialement,
Les organisateurs
Nathalie Etchart-Vincent
José de Sousa
Emmanuelle Taugourdeau