Abstract The Indian exchange rate system has evolved from a pegged system to the current managed float. The study examines the presence of a long-run equilibrium in the monthly Indian exchange rate (Rs/USD) using a current account monetary model (or flexible price monetary model) while accounting for different nonlinearities over the period January 1993 to January 2014 (pre-inflation targeting period). The nonlinear adjustment to disequilibria is modelled using a nonlinear error correction model (NLECM). The nonlinear current account monetarism (CAM) model includes nonlinear transformations of long-run dynamics in the ECM to account for different nonlinearities: multiple equilibria (cubic polynomial function), nonlinear mean reversion (rational polynomial function), and smooth and gradual regime switches (exponential smooth transition autoregressive (ESTAR) function). The NLECM-ESTAR model outperforms other alternatives based on model and forecast performance measures, implying the existence of nonlinear mean reversion and smooth transition across different periods of overvaluation and undervaluation of the exchange rate. This implies the presence of asymmetric adjustment to the movements from the long-run equilibrium, but the nature of such transitions is smooth and not abrupt. The paper also establishes the uniqueness of the long-run equilibrium. A comparison to the sticky price monetary model could not be made due to stationary exchange rate disequilibrium.

中文翻译：

---

印度的汇率：非线性背景下的经常账户货币主义

摘要 印度的汇率制度已经从钉住汇率制度演变为现行的有管理的浮动汇率制度。该研究使用经常账户货币模型（或灵活价格货币模型）检验了印度每月汇率（卢比/美元）是否存在长期均衡，同时考虑了 1993 年 1 月至 2014 年 1 月期间的不同非线性（预-通胀目标期）。对不平衡的非线性调整使用非线性误差校正模型 (NLECM) 建模。非线性经常账户货币主义 (CAM) 模型包括 ECM 中长期动态的非线性变换以解释不同的非线性：多重均衡（三次多项式函数）、非线性均值回归（有理多项式函数）、以及平滑和渐进的状态切换（指数平滑过渡自回归 (ESTAR) 函数）。NLECM-ESTAR 模型优于基于模型和预测性能指标的其他替代方案，这意味着非线性均值回归的存在以及在汇率高估和低估的不同时期之间的平滑过渡。这意味着对长期均衡的运动存在不对称调整，但这种转变的性质是平稳而不是突然的。该论文还建立了长期均衡的唯一性。由于固定汇率不均衡，无法与粘性价格货币模型进行比较。意味着在汇率高估和低估的不同时期之间存在非线性均值回归和平滑过渡。这意味着对长期均衡的运动存在不对称调整，但这种转变的性质是平稳而不是突然的。该论文还建立了长期均衡的唯一性。由于固定汇率不均衡，无法与粘性价格货币模型进行比较。意味着在汇率高估和低估的不同时期之间存在非线性均值回归和平滑过渡。这意味着对长期均衡的运动存在不对称调整，但这种转变的性质是平稳而不是突然的。该论文还建立了长期均衡的唯一性。由于固定汇率不均衡，无法与粘性价格货币模型进行比较。