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Citations for "Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals"

by Taylor, Mark P. & Peel, David A.

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  1. Hausmann, Ricardo & Panizza, Ugo & Rigobon, Roberto, 2006. "The long-run volatility puzzle of the real exchange rate," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 93-124, February.
  2. Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona Graduate School of Economics.
  3. David A. Peel & Ivan Paya, 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.
  4. Venus Khim-Sen Liew & Ahmad Zubaidi Baharumshah & Kian-Ping Lim, 2003. "On Singaporean Dollar-U.S. Dollar and Purchasing Power Parity," International Finance 0309001, EconWPA, revised 01 Nov 2004.
  5. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
  6. repec:lan:wpaper:2608 is not listed on IDEAS
  7. William A. Barnett, Chang Ho Kwag, 2006. "Exchange Rate Determination from Monetary Fundamentals: an Aggregation Theoretic Approach," Frontiers in Finance and Economics, SKEMA Business School, vol. 3(1), pages 29-48, June.
  8. Akarim, Yasemin Deniz & Sevim, Serafettin, 2013. "The impact of mean reversion model on portfolio investment strategies: Empirical evidence from emerging markets," Economic Modelling, Elsevier, vol. 31(C), pages 453-459.
  9. Christian J. Murray & David H. Papell, 2000. "The Purchasing Power Parity Persistence Paradigm," Econometric Society World Congress 2000 Contributed Papers 0017, Econometric Society.
  10. McMillan, David G., 2005. "Smooth-transition error-correction in exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 16(2), pages 217-232, August.
  11. 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.
  12. Kilian, Lutz & Taylor, Mark P., 2001. "Why is it so difficult to beat the random walk forecast of exchange rates?," Working Paper Series 0088, European Central Bank.
  13. Wu, Jyh-Lin & Hu, Yu-Hau, 2009. "New evidence on nominal exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 28(6), pages 1045-1063, October.
  14. Christopoulos, Dimitris & León-Ledesma, Miguel A., 2010. "Current account sustainability in the US: What did we really know about it?," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 442-459, April.
  15. Roche, M.J. & Moore. M.J., 2002. "Volatile and persistent real exchange rates without the contrivance of sticky prices," Economics, Finance and Accounting Department Working Paper Series n1160402, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  16. Carlo Altavilla & Paul De Grauwe, 2010. "Forecasting and combining competing models of exchange rate determination," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3455-3480.
  17. Stefan Reitz & Ulf Slopek, 2009. "Non-Linear Oil Price Dynamics: A Tale of Heterogeneous Speculators?," German Economic Review, Verein für Socialpolitik, vol. 10, pages 270-283, 08.
  18. van Dijk, Dick & Hans Franses, Philip & Peter Boswijk, H., 2007. "Absorption of shocks in nonlinear autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4206-4226, May.
  19. Stefan Reitz, 2005. "Central Bank Intervention and Heterogeneous Exchange Rate Expectations: Evidence from the Daily DEM/US-Dollar Exchange Rate," Open Economies Review, Springer, vol. 16(1), pages 33-50, January.
  20. Dimitrios Malliaropulos & Ekaterini Panopoulou & Nikitas Pittis & Theologos Pantelidis, 2006. "The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates," The Institute for International Integration Studies Discussion Paper Series iiisdp135, IIIS.
  21. Joscha Beckmann, 2011. "Nonlinear Adjustment, Purchasing Power Parity and the Role of Nominal Exchange Rates and Prices," Ruhr Economic Papers 0272, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  22. Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002. "A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs," Finance 0207016, EconWPA.
  23. 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.
  24. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2012. "Testing for Nonlinear Adjustment in the Portuguese Target Zone: Is there a Honeymoon Effect?," GEMF Working Papers 2013-03, GEMF - Faculdade de Economia, Universidade de Coimbra.
  25. Jing Li & Junsoo Lee, 2009. "ADL tests for threshold cointegration," SDSU Working Papers in Progress 22009, South Dakota State University, Department of Economics.
  26. Holmes, Mark J. & Maghrebi, Nabil, 2008. "Is there a connection between monetary unification and real economic integration? Evidence from regime-switching stationarity tests," Journal of International Money and Finance, Elsevier, vol. 27(6), pages 958-970, October.
  27. Miller, J. Isaac, 2011. "Testing the bounds: Empirical behavior of target zone fundamentals," Economic Modelling, Elsevier, vol. 28(4), pages 1782-1792, July.
  28. Kenneth Rogoff & Yu-chin Chen, 2002. "Commodity Currencies and Empirical Exchange Rate Puzzles," IMF Working Papers 02/27, International Monetary Fund.
  29. Peter Wilson & Choy Keen Meng, 2006. "Prospects For Enhanced Exchange Rate Cooperation in East Asia: Some Preliminary Findings from Generalized PPP Theory," SCAPE Policy Research Working Paper Series 0601, National University of Singapore, Department of Economics, SCAPE.
  30. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 51-74.
  31. Ahmad Zubaidi Baharumshah & Chan Tze-Haw & Stilianos Fountas, 2007. "Re-examining purchasing power parity for East-Asian currencies: 1976-2002," Applied Financial Economics, Taylor & Francis Journals, vol. 18(1), pages 75-85.
  32. Venus Khim-Sen Liew, 2004. "Which Lag Length Selection Criteria Should We Employ?," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-9.
  33. 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.
  34. Sabate, Marcela & Gadea, Maria Dolores & Serrano, Jose Maria, 2003. "PPP and structural breaks. The peseta-sterling rate, 50 years of a floating regime," Journal of International Money and Finance, Elsevier, vol. 22(5), pages 613-627, October.
  35. Juan Carlos Cuestas & Estefanía Mourelle, 2009. "Inflation persistence and asymmetries: evidence for African countries," Working Papers 2009/2, Nottingham Trent University, Nottingham Business School, Economics Division.
  36. 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.
  37. Michael Arghyrou & Virginie Boinet & Christopher Martin, 2005. "Beyond Purchasing Power Parity: Nominal exchange rates, output shocks and non linear/asymmetric equilibrium adjustment in Central Europe," Money Macro and Finance (MMF) Research Group Conference 2005 35, Money Macro and Finance Research Group.
  38. repec:ebl:ecbull:v:3:y:2004:i:33:p:1-9 is not listed on IDEAS
  39. Luisa Corrado & Marcus H. Miller & Lei Zhang, 2003. "Exchange Monitoring Bands: Theory and Policy," CEIS Research Paper 8, Tor Vergata University, CEIS.
  40. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
  41. Gawon Yoon, 2010. "Nonlinearity in real exchange rates: an approach with disaggregated data and a new linearity test," Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1125-1132.
  42. Bank for International Settlements, 2008. "Transmission mechanisms for monetary policy in emerging market economies," BIS Papers, Bank for International Settlements, number 35, April.
  43. Stefan Reitz & M.P Taylor, 2006. "The Coordination Channel of Foreign Exchange Intervention," Computing in Economics and Finance 2006 16, Society for Computational Economics.
  44. María Gadea & Marcela Sabaté, 2004. "The European Periphery in the Era of the Gold Standard: The Case of the Spanish Peseta and the Pound Sterling from 1883 to 1931," Open Economies Review, Springer, vol. 15(1), pages 63-85, January.
  45. G. Dufrenot & L. Mathieu & V. Mignon, & A. Peguin-Feissolle, 2002. "Persistent misalignments of the European exchange rates : some evidence from nonlinear cointegration," THEMA Working Papers 2002-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  46. 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.
  47. mamatzakis, e & Christodoulakis, G, 2013. "Behavioural Asymmetries in the G7 Foreign Exchange Market," MPRA Paper 51615, University Library of Munich, Germany.
  48. Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2009. "Exchange rate dynamics in a target zone--A heterogeneous expectations approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 329-344, February.
  49. Hunter, John & Menla Ali, Faek, 2014. "Money demand instability and real exchange rate persistence in the monetary model of USD–JPY exchange rate," Economic Modelling, Elsevier, vol. 40(C), pages 42-51.
  50. Terra, Maria Cristina T. & Valladares, Frederico Estrella Carneiro, 2003. "Real Exchange Rate Misalignments," Economics Working Papers (Ensaios Economicos da EPGE) 493, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  51. Chen, Show-Lin & Tsai, Li-Ju & Wu, Jyh-Lin, 2004. "A revisit to liquidity effects--evidence from a non-linear approach," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 501-517, September.
  52. Juan Carlos Cuestas & Paulo José Regis, 2010. "Purchasing power parity in OECD countries: nonlinear unit root tests revisited," Working Papers 2010/3, Nottingham Trent University, Nottingham Business School, Economics Division.
  53. Corrado, Luisa & Miller, Marcus & Zhang, Lei, 2002. "Exchange Rate Monitoring Bands: Theory and Policy," CEPR Discussion Papers 3337, C.E.P.R. Discussion Papers.
  54. Frédérique Bec & Anders Rahbek, 2004. "Vector equilibrium correction models with non-linear discontinuous adjustments," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 628-651, December.
  55. Juan Carlos Cuestas & Javier Ordoñez Monfort & Maria Amparo Camarero Olivas, 2006. "Nonlinear trend stationary of real exchange rates: The case of the Mediterranean countries," Working Papers. Serie AD 2006-27, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  56. Chunming Yuan, 2008. "The Exchange Rate and Macroeconomic Determinants: Time-Varying Transitional Dynamics," UMBC Economics Department Working Papers 09-114, UMBC Department of Economics, revised 01 Nov 2009.
  57. Venus Khim-Sen Liew, 2004. "Nonlinear Adjustment of ASEAN-5 Real Exchange Rates: Symmetrical or Asymmetrical?," Economics Bulletin, AccessEcon, vol. 6(8), pages 1-19.
  58. 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.
  59. Chang, Ming-Jen & Su, Che-Yi, 2014. "The dynamic relationship between exchange rates and macroeconomic fundamentals: Evidence from Pacific Rim countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 220-246.
  60. Couharde, Cécile & Coulibaly, Issiaka & Damette, Olivier, 2013. "Anchor currency and real exchange rate dynamics in the CFA Franc zone," Economic Modelling, Elsevier, vol. 33(C), pages 722-732.
  61. Stefan Reitz & Mark Taylor, 2012. "FX intervention in the Yen-US dollar market: a coordination channel perspective," International Economics and Economic Policy, Springer, vol. 9(2), pages 111-128, June.
  62. Beckmann, Joscha & Czudaj, Robert, 2014. "Regime shifts and the Canada/US exchange rate in a multivariate framework," Economics Letters, Elsevier, vol. 123(2), pages 206-211.
  63. Reitz, Stefan, 2002. "Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate," Discussion Paper Series 1: Economic Studies 2002,17, Deutsche Bundesbank, Research Centre.
  64. Valerie Herzberg & George Kapetanios & Simon Price, 2003. "Import prices and exchange rate pass-through: theory and evidence from the United Kingdom," Bank of England working papers 182, Bank of England.
  65. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk : facts and puzzles from currency boards," Policy Research Working Paper Series 2815, The World Bank.
  66. 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.
  67. Norman, Stephen, 2010. "How well does nonlinear mean reversion solve the PPP puzzle?," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 919-937, September.
  68. Wu, Jyh-Lin & Lee, Hsiu-Yun, 2009. "A revisit to the non-linear mean reversion of real exchange rates: Evidence from a series-specific non-linear panel unit-root test," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 591-601, December.
  69. Junttila, Juha & Korhonen, Marko, 2011. "Nonlinearity and time-variation in the monetary model of exchange rates," Journal of Macroeconomics, Elsevier, vol. 33(2), pages 288-302, June.
  70. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate?: A Time-Varying Coefficient Approach," Discussion Papers of DIW Berlin 944, DIW Berlin, German Institute for Economic Research.
  71. David A. Peel & Ioannis A. Venetis, 2005. "Smooth Transition Models and Arbitrage Consistency," Economica, London School of Economics and Political Science, vol. 72(3), pages 413-430, 08.
  72. Mototsugu Shintani & Akiko Terada-Hagiwara & Tomoyoshi Yabu, 2012. "Exchange rate pass-through and inflation: a nonlinear time series analysis," Vanderbilt University Department of Economics Working Papers 12-00008, Vanderbilt University Department of Economics.
  73. Emmanuel Davradakis, 2005. "Macroeconomic fundamentals and exchange rates: a non-parametric cointegration analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 15(7), pages 439-446.
  74. Martin Wagner, 2008. "On PPP, unit roots and panels," Empirical Economics, Springer, vol. 35(2), pages 229-249, September.
  75. repec:lan:wpaper:2385 is not listed on IDEAS
  76. Kim, Bong-Han & Min, Hong-Ghi & Moh, Young-Kyu, 2010. "Nonlinear dynamics in exchange rate deviations from the monetary fundamentals: An empirical study," Economic Modelling, Elsevier, vol. 27(5), pages 1167-1177, September.
  77. Nektarios Aslanidis, 2002. "Regime-switching behaviour in European," Working Papers 0202, University of Crete, Department of Economics.
  78. Proaño, Christian R., 2011. "Exchange rate determination, macroeconomic dynamics and stability under heterogeneous behavioral FX expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 77(2), pages 177-188, February.
  79. Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct.
  80. Imbs, Jean & Mumtaz, Haroon & Ravn, Morten O & Rey, Hélène, 2003. "PPP Strikes Back: Aggregation and the Real Exchange Rate," CEPR Discussion Papers 3715, C.E.P.R. Discussion Papers.
  81. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 5.
  82. Papell, David H., 2002. "The great appreciation, the great depreciation, and the purchasing power parity hypothesis," Journal of International Economics, Elsevier, vol. 57(1), pages 51-82, June.
  83. Rapach, David E. & Wohar, Mark E., 2002. "Testing the monetary model of exchange rate determination: new evidence from a century of data," Journal of International Economics, Elsevier, vol. 58(2), pages 359-385, December.
  84. Baharumshah, Ahmad Zubaidi & Chan, Tze-Haw & Aggarwal, Raj, 2006. "The Changing Dynamics of the East Asian Real Exchange Rates after the Financial Crisis: Further Evidence on Mean Reversion," MPRA Paper 6090, University Library of Munich, Germany, revised 22 Nov 2007.
  85. 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.
  86. 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.
  87. Omar A Mendoza Lugo, 2008. "The differential impact of real interest rates and credit availability on private investment: evidence from Venezuela," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 501-537 Bank for International Settlements.
  88. Lutz Kilian & Mark P. Taylor, 2001. "Why is it so difficult to beat the Random Walk Forecast of Exchange Rates?," Tinbergen Institute Discussion Papers 01-031/4, Tinbergen Institute.
  89. repec:ebl:ecbull:v:6:y:2003:i:1:p:1-13 is not listed on IDEAS
  90. 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.
  91. Peltonen, Tuomas A. & Popescu, Adina & Sager, Michael, 2009. "Can non-linear real shocks explain the persistence of PPP exchange rate disequilibria?," Working Paper Series 1073, European Central Bank.
  92. Reitz, Stefan & Ruelke, Jan C. & Taylor, Mark P., 2010. "On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates," Discussion Paper Series 1: Economic Studies 2010,08, Deutsche Bundesbank, Research Centre.
  93. Chien-Chung Nieh & Yu-Shan Wang, 2005. "ARDL Approach to the Exchange Rate Overshooting in Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 25(1), pages 55-71, August.
  94. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
  95. Suardi, Sandy, 2008. "Central bank intervention, threshold effects and asymmetric volatility: Evidence from the Japanese yen-US dollar foreign exchange market," Economic Modelling, Elsevier, vol. 25(4), pages 628-642, July.
  96. Sophocles N. Brissimis & Dimitris A. Sideris & Fragiska K. Voumvaki, 2004. "Testing Long-Run Purchasing Power Parity under Exchange Rate Targeting," Working Papers 15, Bank of Greece.
  97. Basci Erdem & Caner Mehmet, 2005. "Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-21, December.
  98. 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.
  99. 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.
  100. Chang, Tsangyao & Lee, Chia-Hao & Liu, Wen-Chi, 2012. "Nonlinear adjustment to purchasing power parity for ASEAN countries," Japan and the World Economy, Elsevier, vol. 24(4), pages 325-331.
  101. Fredj Jawadi, 2009. "Essay in dividend modelling and forecasting: does nonlinearity help?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1329-1343.
  102. Dimitrios Malliaropulos & Ekaterini Panopoulou & Theologos Pantelidis & Nikitas Pittis, 2013. "Decomposing the persistence of real exchange rates," Empirical Economics, Springer, vol. 44(3), pages 1217-1242, June.
  103. 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.
  104. Wu, Jyh-Lin & Chen, Pei-Fen, 2008. "A revisit on dissecting the PPP puzzle: Evidence from a nonlinear approach," Economic Modelling, Elsevier, vol. 25(4), pages 684-695, July.
  105. 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.
  106. Miguel Carvalho & Paulo Júlio, 2012. "Digging out the PPP hypothesis: an integrated empirical coverage," Empirical Economics, Springer, vol. 42(3), pages 713-744, June.
  107. Christian R. Proano, 2009. "Heterogenous Behavioral Expectations, FX Fluctuations and Dynamic Stability in a Stylized Two-Country Macroeconomic Model," IMK Working Paper 03-2009, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  108. 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.
  109. Grote, Claudia & Sibbertsen, Philipp, 2013. "Testing for Cointegration in a Double-LSTR Framework," Hannover Economic Papers (HEP) dp-514, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  110. Camarero, Mariam & Ordóñez, Javier, 2012. "Nonlinear adjustment in the real dollar–euro exchange rate: The role of the productivity differential as a fundamental," Economic Modelling, Elsevier, vol. 29(2), pages 444-449.
  111. 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.
  112. JamesR. Lothian & MarkP. Taylor, 2008. "Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?," Economic Journal, Royal Economic Society, vol. 118(532), pages 1742-1763, October.
  113. Efthymios Pavlidis & Ivan Paya & David Peel, 2010. "Further empirical evidence on the consumption-real exchange rate anomaly," Working Papers 447022, Lancaster University Management School, Economics Department.
  114. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011. "Cointegration, structural breaks and monetary fundamentals of the Dollar/Yen Exchange," International Advances in Economic Research, International Atlantic Economic Society, vol. 17(4), pages 397-412, November.
  115. Venus Khim-Sen Liew & Kian-Ping Lim & Evan Lau & Chee-Keong Choong, 2003. "Exchange Rate – Relative Price Relationship: Nonlinear Evidence from Malaysia," International Finance 0311014, EconWPA.
  116. Luis A. Gil-Alana & Juan C. Cuesta, 2009. "Further evidence on the PPP analysis of the Australian dollar. Non-linearities, fractional integration and structural change," Faculty Working Papers 07/09, School of Economics and Business Administration, University of Navarra.
  117. Duasa, Jarita, 2008. "Income convergence of divergence? Study on selected Muslim countries," MPRA Paper 11563, University Library of Munich, Germany.
  118. 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.
  119. 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.
  120. 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.
  121. Hartmann, Daniel & Pierdzioch, Christian, 2006. "Nonlinear Links between Stock Returns and Exchange Rate Movements," MPRA Paper 558, University Library of Munich, Germany.
  122. Wu, Jyh-Lin & Chen, Show-Lin, 2001. "Nominal exchange-rate prediction: evidence from a nonlinear approach," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 521-532, August.
  123. Kurmas Akdogan & Yunus Aksoy, 2007. "Exchange Rates and Fundamentals : Is there a Role for Nonlinearities in Real Time?," Working Papers 0703, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  124. Mark J. Holmes & Maghrebi Nabil, 2002. "Non-Linearities, Regime Switching and the Relationship Between Asian Equity and Foreign Exchange Markets," International Economic Journal, Taylor & Francis Journals, vol. 16(4), pages 121-139.
  125. Aysun, Uluc & Guldi, Melanie, 2011. "Exchange rate exposure: A nonparametric approach," Emerging Markets Review, Elsevier, vol. 12(4), pages 321-337.
  126. McMillan, David G., 2009. "The confusing time-series behaviour of real exchange rates: Are asymmetries important?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 692-711, October.
  127. Mancuso, Anthony J. & Goodwin, Barry K. & Grennes, Thomas J., 2003. "Nonlinear aspects of capital market integration and real interest rate equalization," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 283-303.
  128. He, Huizhen & Ranjbar, Omid & Chang, Tsangyao, 2013. "Purchasing power parity in transition countries: Old wine with new bottle," Japan and the World Economy, Elsevier, vol. 28(C), pages 24-32.
  129. Lucio Sarno & Giorgio Valente & Mark E. Wohar, 2004. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," Economic Inquiry, Western Economic Association International, vol. 42(2), pages 179-193, April.
  130. Ivan Paya & David Peel, 2007. "On the relationship between nominal exchange rates and domestic and foreign prices," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 105-117.
  131. repec:van:wpaper:1207 is not listed on IDEAS
  132. repec:lan:wpaper:2466 is not listed on IDEAS
  133. Sekioua, Sofiane H., 2008. "Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the largest root and the half-life," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 76-101, February.
  134. Josh R. Stillwagon, 2014. "Non-Linear Exchange Rate Relationships: An Automated Model Selection Approach with Indicator Saturation," Working Papers 1405, Trinity College, Department of Economics.
  135. 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.
  136. Po-Chin Wu & Shiao-Yen Liu & Sheng-Chieh Pan, 2014. "Does Misery Index Matter for the Persistence of Health Spending? Evidence from OECD Countries," Social Indicators Research, Springer, vol. 118(2), pages 893-910, September.
  137. Liew Khim Sen & Ahmad Zubaidi Baharumshah, 2003. "Forecasting Performance of Logistic STAR Exchange Rate Model: The Original and Reparameterised Versions," GE, Growth, Math methods 0308001, EconWPA.
  138. Carlos Felipe Lopez Suarez & Jose Antonio Rodriguez Lopez, 2008. "Nonlinear Exchange Rate Predictability," Working Papers 080911, University of California-Irvine, Department of Economics, revised Sep 2010.
  139. 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.
  140. He, Huizhen & Chang, Tsangyao, 2013. "Purchasing power parity in transition countries: Sequential panel selection method," Economic Modelling, Elsevier, vol. 35(C), pages 604-609.
  141. 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.
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