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Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era

Citations

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Cited by:

  1. Param Silvapulle & Titi Kanti Lestari & Jae Kim, 2004. "Nonlinear Modelling of Purchasing Power Parity in Indonesia," Econometric Society 2004 Australasian Meetings 316, Econometric Society.
  2. Qian Chen & David E. Giles, 2007. "A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in an Autoregressive Model: New Insights Into the PPP Puzzle," Econometrics Working Papers 0703, Department of Economics, University of Victoria.
  3. Canto, Bea & Kräussl, Roman, 2007. "Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns," CFS Working Paper Series 2007/20, Center for Financial Studies (CFS).
  4. I Paya & D Peel, 2005. "Temporal aggregation of an ESTAR process," Working Papers 565938, Lancaster University Management School, Economics Department.
  5. Venus Khim-Sen Liew, 2003. "The Validity of PPP Revisited: An Application of Non-linear Unit Root Test," International Finance 0308001, University Library of Munich, Germany.
  6. Mohsen Bahmani-Oskooee & Tsangyao Chang & Kuei-Chiu Lee, 2016. "Panel asymmetric nonlinear unit root test and PPP in Africa," Applied Economics Letters, Taylor & Francis Journals, vol. 23(8), pages 554-558, May.
  7. repec:lan:wpaper:2624 is not listed on IDEAS
  8. Tsangyao Chang & Yu-Shao Liu & Chi-Wei Su, 2012. "Purchasing power parity with nonlinear and asymmetric smooth adjustment for the Middle Eastern countries," Applied Economics Letters, Taylor & Francis Journals, vol. 19(5), pages 487-491, March.
  9. Venus Khim-Sen Liew & Kian-Ping Lim & Evan Lau & Chee-Keong Choong, 2003. "Exchange Rate – Relative Price Relationship: Nonlinear Evidence from Malaysia," International Finance 0312001, University Library of Munich, Germany.
  10. Chang, Tsangyao & Tzeng, Han-Wen, 2011. "Long-run purchasing power parity with asymmetric adjustment: Further evidence from nine transition countries," Economic Modelling, Elsevier, vol. 28(3), pages 1383-1391, May.
  11. Franses, Philip Hans & Kunst, Robert M., 2007. "Analyzing a panel of seasonal time series: Does seasonality in industrial production converge across Europe?," Economic Modelling, Elsevier, vol. 24(6), pages 954-968, November.
  12. Chi-Wei Su & Tsangyao Chang & Yu-Shao Liu, 2012. "Revisiting purchasing power parity for African countries: with nonlinear panel unit-root tests," Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3263-3273, September.
  13. Daniel Buncic, 2012. "Understanding forecast failure of ESTAR models of real exchange rates," Empirical Economics, Springer, vol. 43(1), pages 399-426, August.
  14. Mototsugu Shintani, 2006. "A nonparametric measure of convergence towards purchasing power parity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 589-604.
  15. Aaron Smallwood, 2004. "Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity," Computing in Economics and Finance 2004 23, Society for Computational Economics.
  16. Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2010. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model," Annals of Economics and Statistics, GENES, issue 99-100, pages 395-427.
  17. Kiliç, Rehim, 2009. "Further on nonlinearity, persistence, and integration properties of real exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 207-221, April.
  18. Li, Ming-Yuan Leon, 2008. "Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 511-520.
  19. Kim, Hyeongwoo & Ryu, Deockhyun, 2015. "A nonparametric study of real exchange rate persistence over a century," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 406-418.
  20. Venus Khim-Sen Liew & Ahmad Zubaidi Baharumshah & Kian-Ping Lim, 2004. "On Singapore Dollar–U.S. Dollar And Purchasing Power Parity," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 49(01), pages 71-84.
  21. Brissimis, Sophocles N. & Sideris, Dimitris A. & Voumvaki, Fragiska K., 2005. "Testing long-run purchasing power parity under exchange rate targeting," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 959-981, October.
  22. Tsangyao Chang & Hsu-Ling Chang & Ken Hung & Chi-Wei Su, 2012. "Nonlinear adjustment to purchasing power parity for Germany's real exchange rate relative to its major trading partners," Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 197-202, February.
  23. Venus Khim-Sen Liew & Hock-Ann Lee & Kian-Ping Lim & Huay-Huay Lee, 2008. "Linearity and Stationarity of South Asian Real Exchange Rates," The IUP Journal of Applied Economics, IUP Publications, vol. 0(5), pages 48-58, September.
  24. Mario Cerrato & Nick Sarantis, 2006. "Nonlinear Mean Reversion in Real Exchange Rates: Evidence from Developing and Emerging Market Economies," Economics Bulletin, AccessEcon, vol. 6(7), pages 1-14.
  25. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2012. "Purchasing Power Parity between the UK and the Euro Area," Working papers 2012-46, University of Connecticut, Department of Economics.
  26. HOLMES, Mark J, 2008. "Non-Linear Trend Stationarity And Co-Trending In Latin American Real Exchange Rates," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(1), pages 107-118.
  27. Franses, Ph.H.B.F. & van Dijk, D.J.C., 2002. "A simple test for PPP among traded goods," Econometric Institute Research Papers EI 2002-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  28. Joanna Bruzda & Tomasz, Koźliński, 2005. "Non-linearity and the Purchasing Power Parity Hypothesis for Exchange Rate JPY/USD," FindEcon Chapters: Forecasting Financial Markets and Economic Decision-Making, in: Władysław Milo & Piotr Wdowiński (ed.), Acta Universitatis Lodziensis. Folia Oeconomica nr 192/2005 - Issues in Modeling, Forecasting and Decision-Making in Financial Markets, edition 1, volume 127, chapter 11, pages 177-193, University of Lodz.
  29. Ivan Paya & David A. Peel, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668, July.
  30. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Testing for sign and amplitude asymmetries using threshold autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 623-654, April.
  31. Ricky Chee Jiun Chia & Shiok Ye Lim & Sheue Li Ong, 2014. "Long-Run Validity of Purchasing Power Parity and Cointegration Analysis for Low Income African Countries," Economics Bulletin, AccessEcon, vol. 34(3), pages 1438-1447.
  32. Sang-Kuck Chung, 2006. "The out-of-sample forecasts of nonlinear long-memory models of the real exchange rate," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(4), pages 355-370.
  33. Ahmad, Yamin & Lo, Ming Chien & Mykhaylova, Olena, 2013. "Volatility and persistence of simulated DSGE real exchange rates," Economics Letters, Elsevier, vol. 119(1), pages 38-41.
  34. Chortareas, Georgios E. & Kapetanios, George & Shin, Yongcheol, 2002. "Nonlinear mean reversion in real exchange rates," Economics Letters, Elsevier, vol. 77(3), pages 411-417, November.
  35. Baharumshah, Ahmad Zubaidi & Liew, Venus Khim-Sen & Chowdhury, Ibrahim, 2010. "Asymmetry dynamics in real exchange rates: New results on East Asian currencies," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 648-661, October.
  36. Coakley, Jerry & Fuertes, Ana-Maria, 2001. "Border costs and real exchange rate dynamics in Europe," Journal of Policy Modeling, Elsevier, vol. 23(6), pages 669-676, August.
  37. Liew, Venus Khim-sen & Baharumshah, Ahmad Zubaidi & Chong, Terence Tai-leung, 2004. "Are Asian real exchange rates stationary?," Economics Letters, Elsevier, vol. 83(3), pages 313-316, June.
  38. O'Connell, Paul G. J. & Wei, Shang-Jin, 2002. ""The bigger they are, the harder they fall": Retail price differences across U.S. cities," Journal of International Economics, Elsevier, vol. 56(1), pages 21-53, January.
  39. Ata Assaf, 2006. "Nonlinear Trend Stationarity in Real Exchange Rates: Evidence from Nonlinear ADF tests," Annals of Economics and Finance, Society for AEF, vol. 7(2), pages 283-294, November.
  40. Melike Bildirici & Elçin Aykaç Alp, 2012. "Minimum wage is efficient wage in Turkish labor market: TAR–cointegration analysis," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(4), pages 1261-1270, June.
  41. Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002. "A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs," Finance 0207016, University Library of Munich, Germany.
  42. Milas Costas & Legrenzi Gabriella, 2006. "Non-linear Real Exchange Rate Effects in the UK Labour Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(1), pages 1-34, March.
  43. Ahmad, Yamin & Lo, Ming Chien & Mykhaylova, Olena, 2013. "Causes of nonlinearities in low-order models of the real exchange rate," Journal of International Economics, Elsevier, vol. 91(1), pages 128-141.
  44. Carlo Altavilla & Paul De Grauwe, 2010. "Non-linearities in the relation between the exchange rate and its fundamentals," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 1-21.
  45. Juan Jiménez-Martin & M. Robles-Fernandez, 2010. "PPP: Delusion or Reality? Evidence from a Nonlinear Analysis," Open Economies Review, Springer, vol. 21(5), pages 679-704, November.
  46. Sekioua, Sofiane H., 2006. "Nonlinear adjustment in the forward premium: evidence from a threshold unit root test," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 164-183.
  47. repec:lan:wpaper:2403 is not listed on IDEAS
  48. Liew, Venus Khim-Sen & Baharumshah, Ahmad Zubaidi & Habibullah, Muzafar Shah & Midi, Habshah, 2008. "Monetary exchange rate model: supportive evidence from nonlinear testing procedures," MPRA Paper 7293, University Library of Munich, Germany.
  49. Hongjun Li & Zhongjian Lin & Cheng Hsiao, 2015. "Testing purchasing power parity hypothesis: a semiparametric varying coefficient approach," Empirical Economics, Springer, vol. 48(1), pages 427-438, February.
  50. Uctum, Remzi, 2007. "Économétrie des modèles à changement de régimes : un essai de synthèse," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 447-482, décembre.
  51. Aviral Tiwari & Muhammad Shahbaz, 2014. "Revisiting Purchasing Power Parity for India using threshold cointegration and nonlinear unit root test," Economic Change and Restructuring, Springer, vol. 47(2), pages 117-133, May.
  52. Chalamandaris, George & Pagratis, Spyros, 2019. "Limits to arbitrage and CDS–bond dynamics around the financial crisis," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 213-235.
  53. Mototsugu Shintani, 2006. "A nonparametric measure of convergence towards purchasing power parity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 589-604, July.
  54. Ahmad Baharumshah & Venus Liew, 2006. "Forecasting Performance of Exponential Smooth Transition Autoregressive Exchange Rate Models," Open Economies Review, Springer, vol. 17(2), pages 235-251, April.
  55. Michael Morrison & Matías Fontenla, 2013. "Price convergence in an online virtual world," Empirical Economics, Springer, vol. 44(3), pages 1053-1064, June.
  56. Ahmad Zubaidi Baharumshah & Venus Khim-Sen Liew & Evan Lau, 2003. "Nonlinear Mean Reversion in Real Exchange Rates: Evidence from the ASEAN-5," International Trade 0308001, University Library of Munich, Germany.
  57. Tsangyao Chang & Yang-Cheng Lu & D. P. Tang & Wen-Chi Liu, 2011. "Long-run purchasing power parity with asymmetric adjustment: further evidence from African countries," Applied Economics, Taylor & Francis Journals, vol. 43(2), pages 231-242.
  58. David A. Peel & Ioannis A. Venetis, 2005. "Smooth Transition Models and Arbitrage Consistency," Economica, London School of Economics and Political Science, vol. 72(287), pages 413-430, August.
  59. Yang-Cheng Lu & Chang, Tsangyao & Chin-Ping Yu, 2011. "Long-Run Purchasing Power Parity with Asymmetric Adjustment: Evidence from Mainland China and Taiwan," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 59-70, September.
  60. Aidil Rizal SHAHRIN, 2015. "Has Nonlinearity Resolved The A Nomaly Of Unit Root Behaviour In Forward Discount ? New Empirical Evidence," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 70-80, March.
  61. Sollis, Robert, 2009. "A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries," Economic Modelling, Elsevier, vol. 26(1), pages 118-125, January.
  62. Tsangyao Chang & Wen-Chi Liu, 2010. "Long-run purchasing power parity with asymmetric adjustment: evidence from nine major oil-exporting countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 263-274.
  63. Georgios Chortareas & George Kapetanios, 2004. "The Yen Real Exchange Rate may be Stationary after all: Evidence from Non‐linear Unit‐root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(1), pages 113-131, February.
  64. Gawon Yoon, 2010. "On the performance of a nonparametric measure of convergence towards purchasing power parity in the presence of linearity," Applied Economics Letters, Taylor & Francis Journals, vol. 17(14), pages 1389-1396.
  65. Michael Arghyrou & Virginie Boinet & Christopher Martin, 2004. "Non-linear and non-symmetric exchange-rate adjustment: new evidence from medium- and high-inflation economies," Money Macro and Finance (MMF) Research Group Conference 2003 2, Money Macro and Finance Research Group.
  66. Valerie Mignon & Gilles Dufrenot & Slim Chaouachi, 2004. "Modelling the misalignments of the Dollar-Sterling real exchange rate: A nonlinear cointegration perspective," Economics Bulletin, AccessEcon, vol. 3(19), pages 1-11.
  67. Liew Khim Sen & Ahmad Zubaidi Baharumshah & Choo Wei Chong & Habshah Midi, 2003. "A Non-parametric Bootstrap Simulation Study in ESTAR (1) Model," GE, Growth, Math methods 0307005, University Library of Munich, Germany.
  68. Kevin B. Grier & Aaron D. Smallwood, 2007. "Uncertainty and Export Performance: Evidence from 18 Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(4), pages 965-979, June.
  69. Kari Heimonen, 2006. "Nonlinear adjustment in PPP—evidence from threshold cointegration," Empirical Economics, Springer, vol. 31(2), pages 479-495, June.
  70. Christoph Rothe & Philipp Sibbertsen, 2006. "Phillips-Perron-type unit root tests in the nonlinear ESTAR framework," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(3), pages 439-456, September.
  71. Guneratne Banda Wickremasinghe, 2004. "Purchasing Power Parity Hypothesis in Developing Economies:Some Empirical Evidence from Sri Lanka," International Finance 0406005, University Library of Munich, Germany.
  72. Liew Khim Sen & Ahmad Zubaidi Baharumshah, 2003. "How Well the Ringgit-Yen Rate Fits the Non-linear Smooth Transition Autoregressive and Linear Autoregressive Models," GE, Growth, Math methods 0307004, University Library of Munich, Germany.
  73. repec:ebl:ecbull:v:6:y:2006:i:17:p:1-15 is not listed on IDEAS
  74. Andrew Phiri, 2017. "Nonlinear adjustment effects in the purchasing power parity," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 60(2), pages 14-38.
  75. I Paya & D Peel, 2006. "On the relationship between Nominal Exchange Rates and domestic and foreign prices," Working Papers 577409, Lancaster University Management School, Economics Department.
  76. Sofiane Hicham Sekioua, 2003. "The Nominal Exchange Rate and Monetary Fundamentals: Evidence from Nonlinear Unit Root Tests," Economics Bulletin, AccessEcon, vol. 6(1), pages 1-13.
  77. Yamin Ahmad & Stuart Glosser, 2011. "Searching for nonlinearities in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 43(15), pages 1829-1845.
  78. Ho, Tsung-wu, 2005. "Investigating the threshold effects of inflation on PPP," Economic Modelling, Elsevier, vol. 22(5), pages 926-948, September.
  79. Binder, Michael & Offermanns, Christian J., 2007. "International investment positions and exchange rate dynamics: A dynamic panel analysis," CFS Working Paper Series 2007/23, Center for Financial Studies (CFS).
  80. Venus Khim-Sen Liew & Ricky Chee-Jiun Chia & Tai-Hu Ling, 2010. "Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian countries," Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1073-1077.
  81. Sarno, Lucio & Valente, Giorgio, 2006. "Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3147-3169, November.
  82. Copeland, Laurence & Heravi, Saeed, 2006. "Structural Breaks in the Real Exchange Rate Adjustment Mechanism," Cardiff Economics Working Papers E2006/21, Cardiff University, Cardiff Business School, Economics Section.
  83. Tsangyao Chang & Hsu-Ling Chang & Hsiao-Ping Chu & Chi-Wei Su, 2006. "Does PPP hold in African countries? Further evidence based on a highly dynamic non-linear (logistic) unit root test," Applied Economics, Taylor & Francis Journals, vol. 38(20), pages 2453-2459.
  84. Mohsen Bahmani-Oskooee & Ali Kutan & Su Zhou, 2009. "Towards solving the PPP puzzle: evidence from 113 countries," Applied Economics, Taylor & Francis Journals, vol. 41(24), pages 3057-3066.
  85. Smallwood, Aaron D., 2008. "Measuring the persistence of deviations from purchasing power parity with a fractionally integrated STAR model," Journal of International Money and Finance, Elsevier, vol. 27(7), pages 1161-1176, November.
  86. Aslanidis, Nektarios & Kouretas, Georgios P., 2005. "Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece," Economic Modelling, Elsevier, vol. 22(4), pages 665-682, July.
  87. Marianna Belloc & Giancarlo Gandolfo, 2005. "The Current Account - Interest Rate Relation as a Nonlinear Phenomenon," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 14(2), pages 145-166.
  88. Bozhechkova, Alexandra (Божечкова, Александра) & Trunin, Pavel (Трунин, Павел), 2015. "Factor Analysis of the Dynamics of the Real Exchange Rate of the Ruble [Анализ Факторов Динамики Реального Валютного Курса Рубля]," Published Papers mn11, Russian Presidential Academy of National Economy and Public Administration.
  89. Béreau, Sophie & Villavicencio, Antonia López & Mignon, Valérie, 2010. "Nonlinear adjustment of the real exchange rate towards its equilibrium value: A panel smooth transition error correction modelling," Economic Modelling, Elsevier, vol. 27(1), pages 404-416, January.
  90. Milas, C., 2003. "Non-linear multivariate adjustment of the UK real exchange rate," Working Papers 03/08, Department of Economics, City University London.
  91. Juan Carlos Cuestas & Estefania Mourelle, 2011. "Nonlinearities in real exchange rate determination: do African exchange rates follow a random walk?," Applied Economics, Taylor & Francis Journals, vol. 43(2), pages 243-258.
  92. Venus Khim-Sen Liew & Terence Tai-Leung Chong & Kian-Ping Lim, 2003. "The inadequacy of linear autoregressive model for real exchange rates: empirical evidence from Asian economies," Applied Economics, Taylor & Francis Journals, vol. 35(12), pages 1387-1392.
  93. Daniel Buncic, 2019. "Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 667-685, June.
  94. Kian-Ping Lim & Venus Khim-Sen Liew, 2003. "Testing for Non-Linearity in ASEAN Financial Markets," Finance 0308002, University Library of Munich, Germany.
  95. Stephen Norman, 2009. "Testing for a unit root against ESTAR nonlinearity with a delay parameter greater than one," Economics Bulletin, AccessEcon, vol. 29(3), pages 2152-2173.
  96. Muhammad Shahbaz & Naceur Khraief & Mantu Kumar Mahalik, 2020. "Investigating the environmental Kuznets’s curve for Sweden: evidence from multivariate adaptive regression splines (MARS)," Empirical Economics, Springer, vol. 59(4), pages 1883-1902, October.
  97. G. Dufrenot & E. Grimaud & E. Latil & V. Mignon, 2003. "Real exchange rate misalignment in Hungary: a fractionally integrated threshold model," THEMA Working Papers 2003-07, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  98. Bernd Schnatz, 2007. "Is reversion to PPP in euro exchange rates non-linear?," International Economics and Economic Policy, Springer, vol. 4(3), pages 281-297, November.
  99. Venus Khim-Sen Liew & Zhuo Qiao & Wing-keung Wong, 2010. "Linearity and stationarity of G7 government bond returns," Economics Bulletin, AccessEcon, vol. 30(4), pages 2642-2655.
  100. Natalie D. Hegwood & Hiranya K. Nath, 2014. "Real exchange rate dynamics: Evidence from India," Economic Analysis and Policy, Elsevier, vol. 44(4), pages 396-404.
  101. Gilles DUFRENOT & Elisabeth GRIMAUD & Eug=E9nie LATIL & Val=E9rie MIGNON, 2003. "Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model," Econometrics 0309001, University Library of Munich, Germany.
  102. Gonzalo, Jesùs & Pitarakis, Jean-Yves, 2005. "Threshold effects In multivariate error correction models," Discussion Paper Series In Economics And Econometrics 0501, Economics Division, School of Social Sciences, University of Southampton.
  103. Deockhyun Ryu & Mahmoud A. El-Gamal, 2004. "Short Memory and the PPP-puzzle," Econometric Society 2004 Far Eastern Meetings 577, Econometric Society.
  104. Ivan Paya & David A. Peel, 2003. "Purchasing Power Parity Adjustment Speeds in High Frequency Data when the Equilibrium Real Exchange Rate is Proxied by a Deterministic Trend," Manchester School, University of Manchester, vol. 71(s1), pages 39-53, September.
  105. Darbha, Gangadhar & Patel, Urjit R., 2004. "Nonlinear Adjustment in Real Exchange Rates and Long Run Purchasing Power Parity--Further Evidence," Working Papers 04-1, University of Pennsylvania, Wharton School, Weiss Center.
  106. Sollis, Robert, 2008. "U.S. dollar real exchange rates: Nonlinearity revisited," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 516-528, June.
  107. Miguel Carvalho & Paulo Júlio, 2012. "Digging out the PPP hypothesis: an integrated empirical coverage," Empirical Economics, Springer, vol. 42(3), pages 713-744, June.
  108. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
  109. repec:ebl:ecbull:v:6:y:2006:i:7:p:1-14 is not listed on IDEAS
  110. Sideris, Dimitrios, 2006. "Testing for long-run PPP in a system context: Evidence for the US, Germany and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(2), pages 143-154, April.
  111. Ivan Paya & Ioannis A. Venetis & David A. Peel, 2003. "Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(4), pages 421-437, September.
  112. Moosa, Imad A. & Vaz, John J., 2016. "Cointegration, error correction and exchange rate forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 21-34.
  113. Trunin, Pavel (Трунин, Павел) & Bozhechkova, Alexandra (Божечкова, Александра), 2015. "Analysis of Factors Affecting the Dynamics of the Real Ruble Exchange Rate [Анализ Факторов Динамики Реального Валютного Курса Рубля]," Published Papers mak13, Russian Presidential Academy of National Economy and Public Administration.
  114. Mohsen Bahmani-Oskooee & Abera Gelan, 2006. "Testing the PPP in the non-linear STAR Framework: Evidence from Africa," Economics Bulletin, AccessEcon, vol. 6(17), pages 1-15.
  115. Christian Jochum & Marcel R. Savioz, 2005. "A Strange Animal? The Swiss Franc Exchange Rate as a "Captured" Random Walk," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 141(IV), pages 527-553, December.
  116. Giorgio Canarella & Stephen Miller & Stephen Pollard, 2014. "Purchasing Power Parity Between the UK and Germany: The Euro Era," Open Economies Review, Springer, vol. 25(4), pages 677-699, September.
  117. Tsangyao Chang & Chi-Wei Su & Chia-Hao Lee, 2012. "Nonlinear adjustment to purchasing power parity with flexible Fourier function in G-7 countries," Applied Economics Letters, Taylor & Francis Journals, vol. 19(12), pages 1111-1116, August.
  118. Smallwood Aaron D, 2005. "Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-30, June.
  119. Gilles Dufrenot & Laurent Mathieu & Valerie Mignon & Anne Peguin-Feissolle, 2006. "Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration," Applied Economics, Taylor & Francis Journals, vol. 38(2), pages 203-229.
  120. Venus Khim-Sen Liew & Chee-Keong Choong & Evan Lau & Kian-Ping Lim, 2005. "Exchange Rate – Relative Price Nonlinear Cointegration Relationship in Malaysia," Economics Bulletin, AccessEcon, vol. 6(11), pages 1-16.
  121. He, Huizhen & Chou, Ming Che & Chang, Tsangyao, 2014. "Purchasing power parity for 15 Latin American countries: Panel SURKSS test with a Fourier function," Economic Modelling, Elsevier, vol. 36(C), pages 37-43.
  122. Salah Nusair, 2012. "Nonlinear adjustment of Asian real exchange rates," Economic Change and Restructuring, Springer, vol. 45(3), pages 221-246, August.
  123. 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.
  124. Pippenger, John, 2004. "The Modern Theory of the LOP and PPP: Some Implications," University of California at Santa Barbara, Economics Working Paper Series qt60z886n7, Department of Economics, UC Santa Barbara.
  125. repec:lan:wpaper:2401 is not listed on IDEAS
  126. repec:lan:wpaper:2482 is not listed on IDEAS
  127. Bahram Adrangi & Mary E. Allender & Kambiz Raffiee, 2011. "Exchange Rates and Inflation Rates: Exploring Nonlinear Relationships," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 1-16, April.
  128. El-Gamal, Mahmoud A. & Ryu, Deockhyun, 2006. "Short-memory and the PPP hypothesis," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 361-391, March.
  129. Phiri, Andrew, 2014. "Purchasing power parity (PPP) between South Africa and her main currency exchange partners: Evidence from asymmetric unit root tests and threshold co-integration analysis," MPRA Paper 53659, University Library of Munich, Germany.
  130. Antonia López-Villavicencio & Valérie Mignon, 2009. "On Equilibrium Exchange Rates: Is Emerging Asia Different?," Working Papers 2009-38, CEPII research center.
  131. repec:ebl:ecbull:v:3:y:2004:i:19:p:1-11 is not listed on IDEAS
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