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Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a new Threshold Unit Root Test

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Author Info
Erdem Basci (Central Bank of Turkey)
Mehmet Caner (University of Pittsburgh)

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Paper provided by EconWPA in its series International Finance with number 0512001.

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Date of creation: 09 Dec 2005
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Handle: RePEc:wpa:wuwpif:0512001

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Find related papers by JEL classification:
F3 - International Economics - - International Finance
F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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References listed on IDEAS
Please 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.:
  1. Taylor, Mark P. & Peel, David A., 2000. "Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 33-53, February. [Downloadable!] (restricted)
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(explanations, Please 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.)

  1. Svetlana Maslyuk & Russell Smyth, 2007. "Non-Linear Unit Root Properties of Crude Oil Production," Monash Economics Working Papers 39/07, Monash University, Department of Economics. [Downloadable!]
    Other versions:
  2. David O. Cushman, 2008. "Real exchange rates may have nonlinear trends," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(2), pages 158-173. [Downloadable!]
  3. Penelope Smith, 2006. "Bayesian Inference for a Threshold Autoregression with a Unit Root," Melbourne Institute Working Paper Series wp2006n20, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
  4. Jesus Crespo Cuaresma & Adelina Gschwandtner, 2006. "The competitive environment hypothesis revisited: non-linearity, nonstationarity and profit persistence," Applied Economics, Taylor and Francis Journals, vol. 38(4), pages 465-472, March. [Downloadable!] (restricted)
    Other versions:
  5. Sofiane Hicham Sekioua, 2003. "The Nominal Exchange Rate and Monetary Fundamentals: Evidence from Nonlinear Unit Root Tests," Economics Bulletin, Economics Bulletin, vol. 6(1), pages 1-13. [Downloadable!]
  6. Sofiane Sekioua, 2004. "The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis," Money Macro and Finance (MMF) Research Group Conference 2003 85, Money Macro and Finance Research Group. [Downloadable!]
  7. Derek Bond & Michael J. Harrison & Edward J. O'Brien, 2006. "Purchasing Power Parity: The Irish Experience Re-visited," Trinity Economics Papers tep200615, Trinity College Dublin, Department of Economics. [Downloadable!]
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