IDEAS home Printed from https://ideas.repec.org/a/sej/ancoec/v732y2006p461-471.html
   My bibliography  Save this article

Price Indices and Nonlinear Mean-Reversion of Real Exchange Rates

Author

Listed:
  • Jyh-Lin Wu

    () (Institute of Economics, National Sun Yat-sen University)

  • Pei-Fen Chen

    () (Department of International Business and Trade, Shu-Te University)

Abstract

The purpose of this article is to apply a symmetric band–threshold autoregressive model to investigate several interesting issues regarding purchasing power parity (PPP). We find that the nonlinear adjustment toward PPP is sensitive to price indices and is supported if a traded-goods real exchange rate is applied. Moreover, we also uncover the sources of the real exchange rate adjustments toward PPP. Finally, our evidence points out that the estimated half-life with a large shock, based on a generalized impulse response function, can be explained by nominal rigidities.

Suggested Citation

  • Jyh-Lin Wu & Pei-Fen Chen, 2006. "Price Indices and Nonlinear Mean-Reversion of Real Exchange Rates," Southern Economic Journal, Southern Economic Association, vol. 73(2), pages 461-471, October.
  • Handle: RePEc:sej:ancoec:v:73:2:y:2006:p:461-471
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:kap:iaecre:v:17:y:2011:i:3:p:258-273 is not listed on IDEAS
    2. Mamatzakis, E & Remoundos, P, 2010. "Threshold Cointegration in BRENT crude futures market," MPRA Paper 19978, University Library of Munich, Germany.
    3. Mamatzakis, E. & Remoundos, P., 2011. "Testing for adjustment costs and regime shifts in BRENT crude futures market," Economic Modelling, Elsevier, vol. 28(3), pages 1000-1008, May.
    4. Ming-Jen Chang, 2016. "Half-Life Deviations From Purchasing Power Parity: Evidence From Pacific Rim Countries," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 61(04), pages 1-20, September.
    5. Nicholas Apergis & Emmanuel Mamatzakis & Christos Staikouras, 2011. "Testing for Regime Changes in Greek Sovereign Debt Crisis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(3), pages 258-273, August.
    6. Mendonca, Gui Pedro, 2008. "Structural Breaks, Regime Change and Asymmetric Adjustment: A Short and Long Run Global Approach to the Output/Unemployment Dynamics," MPRA Paper 14648, University Library of Munich, Germany.

    More about this item

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sej:ancoec:v:73:2:y:2006:p:461-471. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Laura Razzolini). General contact details of provider: http://edirc.repec.org/data/seaaaea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.