Non-linear mean reversion of real exchange rates and purchasing power parity: some evidence from Turkey
Abstract
Evidence was found of non-linear mean reversion in Turkey's real exchange rates. This suggests that a more complete examination of the empirical validity of PPP requires a joint examination of the non-linearity and non-stationarity of the real exchange rate.Download Info
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Bibliographic Info
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 12 (2005)
Issue (Month): 11 ()
Pages: 701-704
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Related research
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References listed on IDEASPlease report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bruce E. Hansen & Mehmet Caner, 1997.
"Threshold Autoregressions with a Unit Root,"
Boston College Working Papers in Economics
381, Boston College Department of Economics.
- Mehmet Caner & Bruce E. Hansen, 2001. "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Emekter, Riza & Jirasakuldech, Benjamas & Snaith, Sean M., 2009. "Nonlinear dynamics in foreign exchange excess returns: Tests of asymmetry," Journal of Multinational Financial Management, Elsevier, vol. 19(3), pages 179-192, July.
- Chang, Tsangyao & Tzeng, Han-Wen, 2011. "Long-run purchasing power parity with asymmetric adjustment: Further evidence from nine transition countries," Economic Modelling, Elsevier, vol. 28(3), pages 1383-1391, May.
- Zhou, Su, 2008. "Stationarity of Asian-Pacific real exchange rates," Economics Letters, Elsevier, vol. 98(1), pages 16-22, January.
- David Silvera, . "The Antecedents and Consequences of Defensive Attributions inProduct-Harm Crises," Working Papers 0012, College of Business, University of Texas at San Antonio.
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