Three‐Regime Asymmetric STAR Modeling and Exchange Rate Reversion
提出一种更一般的STAR转换函数，同时包含门限非线性和非对称效应，并应用于发展中国家、新兴市场及OECD国家的三种汇率数据，检验均值回归行为。
The breakdown of the Bretton Woods system and the adoption of generalized floating exchange rates ushered in a new era of exchange rate volatility and uncertainty. This increased volatility leads economists to search for economic models able to describe observed exchange rate behavior. In the present paper, we propose more general STAR transition functions that encompass both threshold nonlinearity and asymmetric effects. Our framework allows for a gradual adjustment from one regime to another and considers threshold effects by encompassing other existing models, such as TAR models. We apply our methodology to three different exchange rate data sets: one for developing countries and official nominal exchange rates, the second for emerging market economies using black market exchange rates, and the third for OECD economies.