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

by Sarantis, Nicholas

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  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. Stefan Reitz & Frank Westerhoff, 2007. "Commodity price cycles and heterogeneous speculators: a STAR–GARCH model," Empirical Economics, Springer, vol. 33(2), pages 231-244, September.
  3. Stillwagon, Josh R., 2016. "Non-linear exchange rate relationships: An automated model selection approach with indicator saturation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 84-109.
  4. Venus Khim-Sen Liew, 2004. "Which Lag Length Selection Criteria Should We Employ?," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-9.
  5. 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.
  6. 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.
  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. 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.
  9. 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).
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. repec:ntu:ntugeo:vol2-iss1-14-042 is not listed on IDEAS
  16. 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.
  17. Kutan, Ali M. & Zhou, Su, 2015. "PPP may hold better than you think: Smooth breaks and non-linear mean reversion in real effective exchange rates," Economic Systems, Elsevier, vol. 39(2), pages 358-366.
  18. Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002. "A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs," Finance 0207016, EconWPA.
  19. 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.
  20. 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.
  21. 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.
  22. Ferrara, Laurent & Marcellino, Massimiliano & Mogliani, Matteo, 2015. "Macroeconomic forecasting during the Great Recession: The return of non-linearity?," International Journal of Forecasting, Elsevier, vol. 31(3), pages 664-679.
  23. 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.
  24. 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.
  25. Gregoriou, Andros & Kontonikas, Alexandros, 2009. "Modeling the behaviour of inflation deviations from the target," Economic Modelling, Elsevier, vol. 26(1), pages 90-95, January.
  26. 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.
  27. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2012. "What do we know about real exchange rate nonlinearities?," Empirical Economics, Springer, vol. 43(2), pages 457-474, October.
  28. 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.
  29. Fredj Jawadi, 2009. "Essay in dividend modelling and forecasting: does nonlinearity help?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1329-1343.
  30. 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, 02.
  31. Arruda, Elano Ferreira & Ferreira, Roberto Tatiwa & Castelar, Ivan, 2011. "Modelos lineares e não lineares da curva de Phillips para previsão da taxa de Inflação no Brasil," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 65(3), September.
  32. 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.
  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. Milas, C., 2003. "Non-linear multivariate adjustment of the UK real exchange rate," Working Papers 03/08, Department of Economics, City University London.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. Samira Haddou, 2011. "Is Tunisian Real Effective Exchange Rate Mean Reverting? Evidence from Nonlinear Models," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 18(1), pages 164-178, September.
  40. Miguel Carvalho & Paulo Júlio, 2012. "Digging out the PPP hypothesis: an integrated empirical coverage," Empirical Economics, Springer, vol. 42(3), pages 713-744, June.
  41. Ayşegül Çorakcı & Furkan Emirmahmutoglu & Tolga Omay, 2017. "Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(1), pages 91-120, February.
  42. 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.
  43. 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.
  44. 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.
  45. Salah Nusair, 2012. "Nonlinear adjustment of Asian real exchange rates," Economic Change and Restructuring, Springer, vol. 45(3), pages 221-246, August.
  46. 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.
  47. Ubilava, David & Helmers, C Gustav, 2012. "Forecasting ENSO with a smooth transition autoregressive model," MPRA Paper 36890, University Library of Munich, Germany.
  48. 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.
  49. 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.
  50. 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.
  51. Cynthia A. Lengnick-Hall & Robert J. Griffith, "undated". "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.
  52. López Villavicencio, Antonia, 2008. "Nonlinearities or outliers in real exchange rates?," Economic Modelling, Elsevier, vol. 25(4), pages 714-730, July.
  53. 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.
  54. Sandberg, Rickard, 2016. "Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined," Economic Modelling, Elsevier, vol. 52(PB), pages 699-713.
  55. 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.
  56. 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.
  57. 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.
  58. Ubilava, David, 2016. "The Role of El Niño Southern Oscillation in Commodity Price Movement and Predictability," Working Papers 2016-10, University of Sydney, School of Economics.
  59. David Ubilava, 2014. "El Niño Southern Oscillation and the fishmeal–soya bean meal price ratio: regime-dependent dynamics revisited," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 41(4), pages 583-604.
  60. repec:ebl:ecbull:v:6:y:2003:i:2:p:1-11 is not listed on IDEAS
  61. 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.
  62. Nan Cai & Zongwu Cai & Ying Fang & Qiuhua Xu, 2015. "Forecasting major Asian exchange rates using a new semiparametric STAR model," Empirical Economics, Springer, vol. 48(1), pages 407-426, February.
  63. 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.
  64. Enders, Walter & Pascalau, Razvan, 2015. "Pretesting for multi-step-ahead exchange rate forecasts with STAR models," International Journal of Forecasting, Elsevier, vol. 31(2), pages 473-487.
  65. Rodriguez, Nestor & Eales, James S., 2015. "Structural Change via Threshold Effects: Estimating U.S. Meat Demand Using Smooth Transition Functions and the Effects of More Women in the Labor Force," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 206522, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
  66. Si Mohammed, Kamel & Chérif touil, Noreddine & Maliki, Samir, 2015. "An Empirical Test of Purchasing Power Parity of the Algerian Exchange Rate: Evidence from Panel Dynamic," MPRA Paper 75285, University Library of Munich, Germany.
  67. 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.
  68. John W. Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Staff Working Papers 07-1, Bank of Canada.
  69. 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.
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