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Are real exchange rates nonlinear with a unit root? Evidence on PPP for Italy: a note

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Author Info
Paresh Kumar Narayan
Seema Narayan

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Abstract

In this article, we apply the recently developed threshold autoregression model to examine both linearity and stationarity of Italy's real exchange rate vis-à-vis her six trading partner (G6) countries. Our main finding is that Italy's real exchange rate is a nonlinear process that is not characterized by a unit root process for five of six trading partner countries. This provides strong support for purchasing power parity.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/00036840600606369&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics.

Volume (Year): 39 (2007)
Issue (Month): 19 ()
Pages: 2483-2488
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Handle: RePEc:taf:applec:v:39:y:2007:i:19:p:2483-2488

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