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dc.contributor.authorBond, Dereken
dc.contributor.authorHarrison, Michael J.en
dc.contributor.authorO'Brien, Edward J.en
dc.date.accessioned2010-12-16T13:35:47Z-
dc.date.available2010-12-16T13:35:47Z-
dc.date.issued2007-
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
dc.language.isoengen
dc.publisher|aUniversity College Dublin, UCD School of Economics |cDublinen
dc.relation.ispartofseries|aUCD Centre for Economic Research Working Paper Series |xWP07/18en
dc.subject.jelC22en
dc.subject.jelC51en
dc.subject.jelF31en
dc.subject.jelF41en
dc.subject.ddc330en
dc.subject.keywordpurchasing power parityen
dc.subject.keywordfractional Dickey-Fuller testsen
dc.subject.keywordsmooth transition autoregressionen
dc.subject.keywordrandom field regressionen
dc.subject.keywordmultiple structural changes modelsen
dc.subject.stwWechselkurssystemen
dc.subject.stwWechselkursen
dc.subject.stwKaufkraftparitäten
dc.subject.stwEuropäische Wirtschafts- und Währungsunionen
dc.subject.stwUnit Root Testen
dc.subject.stwIrlanden
dc.subject.stwDeutschlanden
dc.subject.stwGroßbritannienen
dc.titleModelling Ireland's exchange rates: From EMS to EMU-
dc.type|aWorking Paperen
dc.identifier.ppn557449065en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:ucn:wpaper:200718en

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