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dc.contributor.authorBond, Dereken_US
dc.contributor.authorHarrison, Michael J.en_US
dc.contributor.authorO'Brien, Edward J.en_US
dc.date.accessioned2010-12-16T13:35:47Z-
dc.date.available2010-12-16T13:35:47Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/43359-
dc.description.abstractThis paper attempts to model the nominal and real exchange rate for Ireland, relative to Germany and the UK from 1975 to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of nonlinearity. Potential difficulties in placing the analysis in the standard I(1)/I(0) framework are highlighted and comparisons with previous Irish studies are made. Tests for fractional integration and nonlinearity, including random field regressions, are discussed and applied. The results obtained highlight the likely inadequacies of the standard cointegration and Star approaches to modelling, and point instead to multiple structural changes models. Using this approach, both bilateral nominal exchange rates are effectively modelled, and in the case of Ireland and Germany, Ppp is found to be valid not only in the long run, but also in the medium term.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesWorking paper series // UCD Centre for Economic Research 2007/18en_US
dc.subject.jelC22en_US
dc.subject.jelC51en_US
dc.subject.jelF31en_US
dc.subject.jelF41en_US
dc.subject.ddc330en_US
dc.subject.keywordpurchasing power parityen_US
dc.subject.keywordfractional Dickey-Fuller testsen_US
dc.subject.keywordsmooth transition autoregressionen_US
dc.subject.keywordrandom field regressionen_US
dc.subject.keywordmultiple structural changes modelsen_US
dc.subject.stwWechselkurssystemen_US
dc.subject.stwWechselkursen_US
dc.subject.stwKaufkraftparitäten_US
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen_US
dc.subject.stwUnit Root Testen_US
dc.subject.stwIrlanden_US
dc.subject.stwDeutschlanden_US
dc.subject.stwGroßbritannienen_US
dc.titleModelling Ireland's exchange rates: From EMS to EMUen_US
dc.typeWorking Paperen_US
dc.identifier.ppn557449065en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Working Paper Series, UCD School of Economics, University College Dublin (UCD)

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