IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Modeling non-linearities in real effective exchange rates"

by Sarantis, Nicholas

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Ferrara, L. & Marcellino, M. & Mogliani, M., 2012. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," Working papers 383, Banque de France.
  2. Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," International Journal of Forecasting, Elsevier, vol. 21(4), pages 755-774.
  3. Alba, Joseph D. & Park, Donghyun, 2005. "An empirical investigation of purchasing power parity (PPP) for Turkey," Journal of Policy Modeling, Elsevier, vol. 27(8), pages 989-1000, November.
  4. Liew, Venus Khim-Sen & Lee, Hock-Ann & Lim, Kian-Ping & Lee, Huay-Huay, 2006. "Linearity and stationarity of South Asian real exchange rates," MPRA Paper 517, University Library of Munich, Germany.
  5. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2009. "What do we know about real exchange rate non-linearities?," CREATES Research Papers 2009-50, School of Economics and Management, University of Aarhus.
  6. David Ubilava, 2012. "Modeling Nonlinearities in the U.S. Soybean‐to‐Corn Price Ratio: A Smooth Transition Autoregression Approach," Agribusiness, John Wiley & Sons, Ltd., vol. 28(1), pages 29-41, 01.
  7. 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.
  8. McMillan, David G., 2007. "Bubbles in the dividend-price ratio? Evidence from an asymmetric exponential smooth-transition model," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 787-804, March.
  9. Param Silvapulle & Titi Kanti Lestari & Jae Kim, 2004. "Nonlinear Modelling of Purchasing Power Parity in Indonesia," Econometric Society 2004 Australasian Meetings 316, Econometric Society.
  10. López Villavicencio, Antonia, 2008. "Nonlinearities or outliers in real exchange rates?," Economic Modelling, Elsevier, vol. 25(4), pages 714-730, July.
  11. Cynthia A. Lengnick-Hall & Robert J. Griffith, . "Knowledge Resources, Exploration, and Exploitation: A New Perspective on the Interplay Between Innovation and Application," Working Papers 0027, College of Business, University of Texas at San Antonio.
  12. Georgios Chortareas & George Kapetanios, 2003. "The Yen Real Exchange Rate May Be Stationary after All: Evidence from Nonlinear Unit-Root Tests," Working Papers 484, Queen Mary University of London, School of Economics and Finance.
  13. Gregoriou, Andros & Kontonikas, Alexandros, 2009. "Modeling the behaviour of inflation deviations from the target," Economic Modelling, Elsevier, vol. 26(1), pages 90-95, January.
  14. Kruse, Robinson, 2011. "On European monetary integration and the persistence of real effective exchange rates," Finance Research Letters, Elsevier, vol. 8(1), pages 45-50, March.
  15. Miguel Carvalho & Paulo Júlio, 2012. "Digging out the PPP hypothesis: an integrated empirical coverage," Empirical Economics, Springer, vol. 42(3), pages 713-744, June.
  16. Adrian Cantemir Calin & Tiberiu Diaconescu & Oana – Cristina Popovici, 2014. "Nonlinear Models for Economic Forecasting Applications: An Evolutionary Discussion," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 2(1), pages 42-47, June.
  17. 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.
  18. Chi-Wei Su, 2012. "The relationship between exchange rate and macroeconomic variables in China," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics, vol. 30(1), pages 33-56.
  19. 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.
  20. Marcelo Cunha Medeiros & Álvaro Veiga & Carlos Eduardo Pedreira, 2000. "Modelling exchange rates: smooth transitions, neural networks, and linear models," Textos para discussão 432, Department of Economics PUC-Rio (Brazil).
  21. Andros Gregoriou & Alexandros Kontonikas, 2005. "Modeling The Non-Linear Behaviour of Inflation Deviations From The Target," Working Papers 2005_12, Business School - Economics, University of Glasgow.
  22. repec:ebl:ecbull:v:6:y:2003:i:2:p:1-11 is not listed on IDEAS
  23. Carlo Altavilla & Paul De Grauwe, 2005. "Non-Linearities in the Relation between the Exchange Rate and its Fundamentals," CESifo Working Paper Series 1561, CESifo Group Munich.
  24. Milas, C., 2003. "Non-linear multivariate adjustment of the UK real exchange rate," Working Papers 03/08, Department of Economics, City University London.
  25. Lin, Edward M.H. & Chen, Cathy W.S. & Gerlach, Richard, 2012. "Forecasting volatility with asymmetric smooth transition dynamic range models," International Journal of Forecasting, Elsevier, vol. 28(2), pages 384-399.
  26. 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, EconWPA.
  27. repec:ntu:ntugeo:vol2-iss1-14-042 is not listed on IDEAS
  28. Kim, Sei-Wan & Mollick, André V. & Nam, Kiseok, 2008. "Common nonlinearities in long-horizon stock returns: Evidence from the G-7 stock markets," Global Finance Journal, Elsevier, vol. 19(1), pages 19-31.
  29. Lin, Jeng-Bau & Liang, Chin-Chia & Yeh, Ming-Liang, 2011. "Examining nonlinear dynamics of exchange rates and forecasting performance based on the exchange rate parity of four Asian economies," Japan and the World Economy, Elsevier, vol. 23(2), pages 79-85, March.
  30. Rapach, David E. & Wohar, Mark E., 2006. "The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior," International Journal of Forecasting, Elsevier, vol. 22(2), pages 341-361.
  31. Westerhoff Frank H. & Reitz Stefan, 2003. "Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-15, December.
  32. Gabriella Legrenzi & Costas Milas, 2004. "Non-linear real exchange rate effects in the UK labour market," International Finance 0411007, EconWPA.
  33. E Pavlidis & I Paya & D Peel, 2009. "Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear," Working Papers 601190, Lancaster University Management School, Economics Department.
  34. Joseph D. ALBA & Donghyun PARK, 2004. "Mean Reversion of Real Exchange Rates and Purchasing Power Parity in Turkey," Econometric Society 2004 Far Eastern Meetings 530, Econometric Society.
  35. Robinson Kruse, 2011. "A new unit root test against ESTAR based on a class of modified statistics," Statistical Papers, Springer, vol. 52(1), pages 71-85, February.
  36. 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, EconWPA.
  37. Ming Chien Lo & Eric Zivot, 1999. "Threshold Cointegration and Nonlinear Adjustment to the Law of One Price," Working Papers 0030, University of Washington, Department of Economics.
  38. Ubilava, David & Helmers, C Gustav, 2012. "Forecasting ENSO with a smooth transition autoregressive model," MPRA Paper 36890, University Library of Munich, Germany.
  39. Samira Haddou, 2011. "Is Tunisian Real Effective Exchange Rate Mean Reverting? Evidence from Nonlinear Models," Transition Studies Review, Springer, vol. 18(1), pages 164-178, September.
  40. Salah Nusair, 2012. "Nonlinear adjustment of Asian real exchange rates," Economic Change and Restructuring, Springer, vol. 45(3), pages 221-246, August.
  41. Mark J. Holmes & Ping Wang, 2005. "Do African Countries Move Asymmetrically Towards Purchasing Power Parity?," South African Journal of Economics, Economic Society of South Africa, vol. 73(2), pages 292-301, 06.
  42. Mohamed Boutahar & Imene Mootamri & Anne Peguin-Feissolle, 2007. "An exponential FISTAR model applied to the US real effective exchange rate," Working Papers halshs-00353836, HAL.
  43. Carlo Altavilla, 2008. "The (UN-) stable relationship between the exchange rate and its fundamentals," Applied Economics Letters, Taylor & Francis Journals, vol. 15(7), pages 539-544.
  44. Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002. "A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs," Finance 0207016, EconWPA.
  45. Venus Khim-Sen Liew, 2004. "Which Lag Length Selection Criteria Should We Employ?," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-9.
  46. John W. Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Working Papers 07-1, Bank of Canada.
  47. Fredj Jawadi, 2009. "Essay in dividend modelling and forecasting: does nonlinearity help?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1329-1343.
  48. 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.
  49. Gil-Alana, Luis A., 2008. "A simple non-linear model with fractional integration for financial time series data," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 838-848, December.
  50. Cai Zongwu & Chen Linna & Fang Ying, 2012. "A New Forecasting Model for USD/CNY Exchange Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-20, September.
  51. 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.
  52. Mohsen Bahmani-Oskooee & Ali M. Kutan & Su Zhou, 2009. "A century of PPP: supportive results from nonlinear unit root tests," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 11(1), pages 19-27.
  53. Holmes, Mark J. & Maghrebi, Nabil, 2004. "Asian real interest rates, nonlinear dynamics, and international parity," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 387-405.
  54. 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.
  55. Cuñado, J. & Gil-Alana, L.A. & Perez de Gracia, F., 2012. "Testing for persistent deviations of stock prices to dividends in the Nasdaq index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4675-4685.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.