Non-linear mean reversion of real exchange rates and purchasing power parity: some evidence from Turkey
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.
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Volume (Year): 12 (2005)
Issue (Month): 11 ()
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- Mehmet Caner & Bruce E. Hansen, 2001.
"Threshold Autoregression with a Unit Root,"
Econometric Society, vol. 69(6), pages 1555-1596, November.
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