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.
Volume (Year): 12 (2005)
Issue (Month): 11 ()
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- Bruce E. Hansen & Mehmet Caner, 1997.
"Threshold Autoregressions with a Unit Root,"
Boston College Working Papers in Economics
381, Boston College Department of Economics.
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