Threshold stationary real exchange rates: a nonlinear, multivariate approach
AbstractPurchasing power parity implies that real exchange rates are stationary. However, the finding of nonstationary real exchange rates has been difficult to dismiss. Using a nonlinear, three-regime structural bivariate threshold model, this paper finds evidence of threshold stationary real exchange rates which is consistent with purchasing power parity adjusted for market frictions such as transaction costs.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 6 (2003)
Issue (Month): 2 ()
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- F3 - International Economics - - International Finance
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