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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. Mototsugu Shintani, 2003. "A Nonparametric Measure of Convergence Toward Purchasing Power Parity," Levine's Working Paper Archive 506439000000000172, David K. Levine.
  2. Mariam Camarero & Juan Carlos Cuestas & Javier Ordonez, 2008. "Nonlinear trend stationarity of real exchange rates: the case of the Mediterranean countries," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(1), pages 30-46.
  3. Joao Sousa Andrade & António Portugal Duarte & Adelaide Duarte, 2013. "Testing for Nonlinear Adjustment in the Portuguese Target Zone: Is there a Honeymoon Effect?," EcoMod2013 5305, EcoMod.
  4. Juan Carlos Cuestas, 2009. "Purchasing power parity in Central and Eastern European countries: an analysis of unit roots and nonlinearities," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 87-94.
  5. repec:kap:iaecre:v:17:y:2011:i:4:p:397-412 is not listed on IDEAS
  6. 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.
  7. Haroon Mumtaz & Jean Imbs & Morten O. Ravn & Helene Rey, 2003. "PPP Strikes Back; Aggregation and the Real Exchange Rate," IMF Working Papers 03/68, .
  8. Cristina Terra & Frederico Valladares, 2009. "Real Exchange Rate Misalignments," THEMA Working Papers 2009-03, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  9. 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.
  10. 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.
  11. Beckmann, Joscha & Belke, Ansgar & Kühl, Michael, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach," Ruhr Economic Papers 134, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  12. Beckmann, Joscha & Belke, Ansgar & Dobnik, Frauke, 2011. "Cross-section Dependence and the Monetary Exchange Rate Mode – A Panel Analysis," Ruhr Economic Papers 252, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  13. Reitz, Stefan & Westerhoff, Frank, 2003. "Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists," CFS Working Paper Series 2003/10, Center for Financial Studies (CFS).
  14. Ahmad Zubaidi Baharumshah & Liew Khim Sen & Lim Kian Ping, 2003. "Exchange Rates Forecasting Model: An Alternative Estimation Procedure," International Finance 0307005, EconWPA.
  15. 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.
  16. 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.
  17. Barumshah, Ahmad Zubaidi & Chan, Tze-Haw & Fountas, Stilianos, 2004. "Re-examining Purchasing Power Parity for East-Asian Currencies: 1976-2002," MPRA Paper 2025, University Library of Munich, Germany, revised 2006.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. Lothian, James R. & Taylor, Mark P., 2006. "Real Exchange Rates Over the Past Two Centuries : How Important is the Harrod-Balassa-Samuelson Effect?," The Warwick Economics Research Paper Series (TWERPS) 768, University of Warwick, Department of Economics.
  23. Rabah Arezki & Klaus Deininger & Harris Selod, 2012. "What drives the global rush?," NCID Working Papers 02/2012, Navarra Center for International Development, University of Navarra.
  24. D Peel & I A Venetis, 2005. "Smooth transition models and arbitrage consistency," Working Papers 566786, Lancaster University Management School, Economics Department.
  25. 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.
  26. Juan Carlos Cuestas & Estefania Mourelle, 2008. "Nonlinearities in real exchange rate determination: do African exchange rates follow a radom walk?," Working Papers 2008/8, Nottingham Trent University, Nottingham Business School, Economics Division.
  27. 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.
  28. Uluc Aysun & Melanie Guldi, 2009. "Exchange rate exposure: A nonparametric approach," Working papers 2009-18, University of Connecticut, Department of Economics.
  29. 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.
  30. Simeon Coleman & Juan Carlos Cuestas & Estefanía Mourelle, 2011. "Investigating the oil price-exchange rate nexus: Evidence from Africa," Working Papers 2011015, The University of Sheffield, Department of Economics, revised May 2011.
  31. 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.
  32. William Barnett & Chang Ho Kwag, 2005. "Exchange Rate Determination from Monetary Fundamentals: an Aggregation Theoretic Approach," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200513, University of Kansas, Department of Economics, revised May 2005.
  33. 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.
  34. 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.
  35. Jing Li & Junsoo Lee, 2009. "ADL tests for threshold cointegration," SDSU Working Papers in Progress 22009, South Dakota State University, Department of Economics.
  36. 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.
  37. 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.
  38. Christian R. Proaño, 2013. "Monetary Policy Rules And Macroeconomic Stabilization In Small Open Economies Under Behavioral Fx Trading: Insights From Numerical Simulations," Manchester School, University of Manchester, vol. 81(6), pages 992-1011, December.
  39. Rabah Arezki & Kirk Hamilton & Kazim Kazimov, 2012. "Resource windfalls, macroeconomic stability and growth: the role of political institutions," NCID Working Papers 01/2012, Navarra Center for International Development, University of Navarra.
  40. Juan Carlos Cuestas & Paulo José Regis, 2013. "On the Relationship Between Exchange Rates and External Imbalances: East and Southeast Asia," Working Papers 2013015, The University of Sheffield, Department of Economics.
  41. Christian J. Murray & David H. Papell, 2000. "The Purchasing Power Parity Persistence Paradigm," Econometric Society World Congress 2000 Contributed Papers 0017, Econometric Society.
  42. 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.
  43. 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.
  44. 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.
  45. P. de Grauwe & I. Vansteenkiste, 2003. "Exchange Rates and Fundamentals a Non-Linear Relationship?," DNB Staff Reports (discontinued) 78, Netherlands Central Bank.
  46. Chang, Tsangyao & Lee, Chia-Hao & Chou, Pei-I & Tang, Dai-Piao, 2011. "Revisiting long-run purchasing power parity with asymmetric adjustment for G-7 countries," Japan and the World Economy, Elsevier, vol. 23(4), pages 259-264.
  47. Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
  48. Syllignakis, Manolis N. & Kouretas, Georgios P., 2011. "Markov-switching regimes and the monetary model of exchange rate determination: Evidence from the Central and Eastern European markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 707-723.
  49. repec:ebl:ecbull:v:6:y:2003:i:1:p:1-13 is not listed on IDEAS
  50. 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: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 118(2), pages 893-910, September.
  51. 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.
  52. 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.
  53. repec:lan:wpaper:2385 is not listed on IDEAS
  54. 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.
  55. Miller, J. Isaac, 2011. "Testing the bounds: Empirical behavior of target zone fundamentals," Economic Modelling, Elsevier, vol. 28(4), pages 1782-1792, July.
  56. Burns, Kelly & Moosa, Imad A., 2015. "Enhancing the forecasting power of exchange rate models by introducing nonlinearity: Does it work?," Economic Modelling, Elsevier, vol. 50(C), pages 27-39.
  57. 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.
  58. Carlo Altavilla & Paul De Grauwe, 2006. "Forecasting and Combining Competing Models of Exchange Rate Determination," CESifo Working Paper Series 1747, CESifo Group Munich.
  59. Luisa Corrado & Marcus Miller & Lei Zhang, 2007. "Exchange Rate Monitoring Bands: Theory and Policy," Money Macro and Finance (MMF) Research Group Conference 2006 146, Money Macro and Finance Research Group.
  60. 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.
  61. 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.
  62. 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.
  63. Caporale, Guglielmo Maria & Gil-Alaña, Luis A., 2000. "Fractional cointegration and real exchange rates," SFB 373 Discussion Papers 2000,69, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  64. 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.
  65. Engel, Charles, 2014. "Exchange Rates and Interest Parity," Handbook of International Economics, Elsevier.
  66. Reitz, Stefan & Taylor, Mark P., 2008. "The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis," European Economic Review, Elsevier, vol. 52(1), pages 55-76, January.
  67. 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.
  68. Juan David Durán-Vanegas, 2015. "Do foreign exchange interventions work as coordinating signals in Colombia?," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 33(78), pages 169-175, December.
  69. Meng, Xiangcai & Huang, Chia-Hsing, 2016. "Nonlinear models for the sources of real effective exchange rate fluctuations: Evidence from the Republic of Korea," Japan and the World Economy, Elsevier, vol. 40(C), pages 21-30.
  70. Habimana, Olivier, 2017. "The multiscale relationship between exchange rates and fundamentals differentials: Empirical evidence from Scandinavia," MPRA Paper 75956, University Library of Munich, Germany.
  71. 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.
  72. 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.
  73. Luis Alberiko Gil-Alaña & Juan C. Cuestas & Estefania Mourelle, 2011. "Is there asymmetric behaviour in African inflation? A non-linear approach," NCID Working Papers 03/2011, Navarra Center for International Development, University of Navarra.
  74. Reitz, Stefan, 2006. "On the predictive content of technical analysis," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 121-137, August.
  75. 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.
  76. 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.
  77. 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.
  78. Chen, Yu-chin & Rogoff, Kenneth, 2003. "Commodity currencies," Journal of International Economics, Elsevier, vol. 60(1), pages 133-160, May.
  79. Venus Khim-Sen Liew, 2003. "The Validity of PPP Revisited: An Application of Non-linear Unit Root Test," International Finance 0308001, EconWPA.
  80. 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.
  81. 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, EconWPA.
  82. repec:rwi:repape:0134 is not listed on IDEAS
  83. 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.
  84. Duasa, Jarita, 2008. "Income convergence of divergence? Study on selected Muslim countries," MPRA Paper 11563, University Library of Munich, Germany.
  85. Miguel de Carvalho & Paulo Julio, 2010. "Digging Out the PPP Hypothesis: an Integrated Empirical Coverage," GEE Papers 0024, Gabinete de Estratégia e Estudos, Ministério da Economia, revised Sep 2010.
  86. Robert J Bianchi & Adam E Clements & Michael E Drew, 2009. "HACking at Non-linearity: Evidence from Stocks and Bonds," School of Economics and Finance Discussion Papers and Working Papers Series 244, School of Economics and Finance, Queensland University of Technology.
  87. 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.
  88. repec:lan:wpaper:2608 is not listed on IDEAS
  89. 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.
  90. 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.
  91. 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.
  92. 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.
  93. 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.
  94. mamatzakis, e & Christodoulakis, G, 2013. "Behavioural Asymmetries in the G7 Foreign Exchange Market," MPRA Paper 51615, University Library of Munich, Germany.
  95. Beckmann, Joscha, 2011. "Nonlinear Adjustment, Purchasing Power Parity and the Role of Nominal Exchange Rates and Prices," Ruhr Economic Papers 272, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  96. 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.
  97. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk : facts and puzzles from currency boards," Policy Research Working Paper Series 2815, The World Bank.
  98. 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.
  99. Kian-Ping Lim & Venus Khim-Sen Liew, 2003. "Testing for Non-Linearity in ASEAN Financial Markets," Finance 0308002, EconWPA.
  100. Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002. "A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs," Finance 0207016, EconWPA.
  101. Bahmani-Oskooee, Mohsen & Chang, Tsangyao & Lee, Kuei-Chiu, 2016. "Purchasing power parity in emerging markets: A panel stationary test with both sharp and smooth breaks," Economic Systems, Elsevier, vol. 40(3), pages 453-460.
  102. Reitz, Stefan & Taylor, Mark P., 2012. "FX intervention in the yen-US dollar market: A coordination channel perspective," Kiel Working Papers 1765, Kiel Institute for the World Economy (IfW).
  103. Cécile Couharde & Issiaka Coulibaly & Olivier Damette, 2013. "Anchor currency and real exchange rates dynamics in the CFA Franc Zone," Post-Print hal-01385881, HAL.
  104. Fredj Jawadi, 2009. "Essay in dividend modelling and forecasting: does nonlinearity help?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1329-1343.
  105. 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.
  106. Maurice Larrain, 2003. "Central bank intervention, the current account, and exchange rates," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 9(3), pages 196-205, August.
  107. Fredj Jawadi & Georges Prat, 2011. "Arbitrage Costs and Nonlinear Adjustment in the G7 Stock Markets," Post-Print hal-00677631, HAL.
  108. 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.
  109. 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.
  110. 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.
  111. 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.
  112. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 1-5.
  113. Shintani, Mototsugu & Terada-Hagiwara, Akiko & Yabu, Tomoyoshi, 2013. "Exchange rate pass-through and inflation: A nonlinear time series analysis," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 512-527.
  114. 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.
  115. 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.
  116. 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.
  117. Ekaterini Panopoulou & Dimitrios Malliaropulos & Theologos Pantelidis & Nikitas Pittis, 2006. "The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates," Economics, Finance and Accounting Department Working Paper Series n1640306, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  118. Louis Raffestin, 2016. "Foreign exchange investment rules and endogenous currency crashes," Working Papers hal-01277113, HAL.
  119. Chang, Tsangyao & Chiu, Chi Chen & Tzeng, Han Wen, 2011. "Revisiting Purchasing Power Parity for Nine Transition Countries Using the Rank Test for Nonlinear Cointegration," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 19-30, June.
  120. Ricardo Hausmann & Ugo Panizza & Roberto Rigobon, 2004. "The Long-Run Volatility Puzzle of the Real Exchange Rate," NBER Working Papers 10751, National Bureau of Economic Research, Inc.
  121. 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.
  122. 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.
  123. Nektarios Aslanidis, 2002. "Regime-switching behaviour in European," Working Papers 0202, University of Crete, Department of Economics.
  124. 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.
  125. Jiang, Chun & Jian, Na & Liu, Tie-Ying & Su, Chi-Wei, 2016. "Purchasing power parity and real exchange rate in Central Eastern European countries," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 349-358.
  126. 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.
  127. 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.
  128. 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.
  129. Gilles Dufrénot & Laurent Mathieu & Valérie Mignon & Anne Peguin-Feissolle, 2006. "Persistent misalignments of the European exchange rates: some evidence from non-linear cointegration," Post-Print halshs-00256876, HAL.
  130. 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.
  131. 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.
  132. Wagner, Martin, 2005. "On PPP, Unit Roots and Panels," Economics Series 176, Institute for Advanced Studies.
  133. Cuestas, Juan C. & Gil-Alana, Luís A., 2009. "Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes," Economic Modelling, Elsevier, vol. 26(6), pages 1184-1192, November.
  134. repec:lan:wpaper:2387 is not listed on IDEAS
  135. repec:zbw:rwirep:0252 is not listed on IDEAS
  136. Taline Koranchelian, 2005. "The Equilibrium Real Exchange Rate in a Commodity Exporting Country; Algeria’s Experience," IMF Working Papers 05/135, .
  137. repec:rwi:repape:0252 is not listed on IDEAS
  138. repec:zbw:rwirep:0272 is not listed on IDEAS
  139. Hyeyoen Kim, 2011. "Large Data Sets, Nonlinearity and the Speed of Adjustment to Real Exchange Rate Shocks," Post-Print hal-00665456, HAL.
  140. 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.
  141. repec:ebl:ecbull:v:3:y:2004:i:33:p:1-9 is not listed on IDEAS
  142. 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.
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  147. Nicholas Apergis & Sofia Eleftheriou & Dimitrios Voliotis, 2017. "Asymmetric Spillover Effects between Agricultural Commodity Prices and Biofuel Energy Prices," International Journal of Energy Economics and Policy, Econjournals, vol. 7(1), pages 166-177.
  148. 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.
  149. He, Huizhen & Chang, Tsangyao, 2013. "Purchasing power parity in transition countries: Sequential panel selection method," Economic Modelling, Elsevier, vol. 35(C), pages 604-609.
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  151. Kenneth Rogoff & Yu-chin Chen, 2002. "Commodity Currencies and Empirical Exchange Rate Puzzles," IMF Working Papers 02/27, .
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  153. 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.
  154. 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.
  155. Ming-Jen Chang, 2016. "Half-Life Deviations From Purchasing Power Parity: Evidence From Pacific Rim Countries," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 61(04), pages 01-20.
  156. 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.
  157. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.
  158. 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.
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  160. Maki, Daiki, 2015. "Wild bootstrap testing for cointegration in an ESTAR error correction model," Economic Modelling, Elsevier, vol. 47(C), pages 292-298.
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  162. 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.
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  164. 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.
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  166. López-Suárez, Carlos Felipe & Rodríguez-López, José Antonio, 2011. "Nonlinear exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 877-895, September.
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  177. Luisa Corrado & Marcus H. Miller & Lei Zhang, 2003. "Exchange Monitoring Bands: Theory and Policy," CEIS Research Paper 8, Tor Vergata University, CEIS.
  178. 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.
  179. 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.
  180. Nedeljkovic, Milan, 2008. "Testing for Smooth Transition Nonlinearity in Adjustments of Cointegrating Systems," The Warwick Economics Research Paper Series (TWERPS) 876, University of Warwick, Department of Economics.
  181. Venus Khim-Sen Liew, 2004. "Which Lag Length Selection Criteria Should We Employ?," Economics Bulletin, AccessEcon, vol. 3(33), pages 1-9.
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  183. Jaehun Chung & Yongmiao Hong, 2013. "Model-Free Evaluation of Directional Predictability in Foreign Exchange," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  184. Wu, Po-Chin & Liu, Shiao-Yen & Chen, Che-Ying, 2016. "Re-examining risk premiums in the Fama–French model: The role of investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 154-171.
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  189. Bank for International Settlements, 2008. "Transmission mechanisms for monetary policy in emerging market economies," BIS Papers, Bank for International Settlements, number 35.
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