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Citations for "Quantifying the uncertainty about the half-life of deviations from PPP"

by Lutz Kilian & Tao Zha

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  1. Ozdemir, Zeynel Abidin & Gokmenoglu, Korhan & Ekinci, Cagdas, 2013. "Persistence in crude oil spot and futures prices," Energy, Elsevier, vol. 59(C), pages 29-37.
  2. Jean Imbs & Haroon Mumtaz & Morten O. Ravn & Helene Rey, 2003. "PPP Strikes Back: Aggregation and the Real Exchange Rate," IEHAS Discussion Papers 0307, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
  3. Masao Ogaki & Hyeongwoo Kim, 2009. "Purchasing Power Parity and the Taylor Rule," Working Papers 09-03, Ohio State University, Department of Economics.
  4. Robertson, Raymond & Kumar, Anil & Dutkowsky, Donald H., 2009. "Purchasing Power Parity and aggregation bias for a developing country: The case of Mexico," Journal of Development Economics, Elsevier, vol. 90(2), pages 237-243, November.
  5. Fullerton Jr., Thomas M. & Fierro, Karen P. & Villalobos, Emmanuel, 2009. "Cross-border restaurant price and exchange rate interactions," The North American Journal of Economics and Finance, Elsevier, vol. 20(3), pages 281-288, December.
  6. repec:csg:ajrcwp:05 is not listed on IDEAS
  7. Mototsugu Shintani, 2003. "A Nonparametric Measure of Convergence Toward Purchasing Power Parity," Levine's Working Paper Archive 506439000000000172, David K. Levine.
  8. Guglielmo Maria Caporale & Mario Cerrato & Nicola Spagnolo, 2005. "Measuring half-lives: using a non-parametric bootstrap approach," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(1), pages 1-4, January.
  9. Georg Strasser, 2011. "The Efficiency of the Global Markets for Final Goods and Productive Capabilities," 2011 Meeting Papers 576, Society for Economic Dynamics.
  10. Laura Mayoral & Maria Dolores Gadea, 2009. "Analyzing aggregate real exchange rate persistence through the lens of sectoral data," UFAE and IAE Working Papers 787.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  11. Lopez, Claude & Murray, Chris & Papell, David, 2009. "Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle," MPRA Paper 26091, University Library of Munich, Germany.
  12. Ivan Paya & David A. Peel, 2004. "Temporal Aggregation Of An Estar Process: Some Implications For Purchasing Power Parity Adjustment," Working Papers. Serie AD 2004-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  13. Murray, Christian J. & Papell, David H., 2002. "The purchasing power parity persistence paradigm," Journal of International Economics, Elsevier, vol. 56(1), pages 1-19, January.
  14. Yuriy Gorodnichenko & Linda Tesar, 2005. "A Re-Examination of the Border Effect," Working Papers 546, Research Seminar in International Economics, University of Michigan.
  15. Kim, Jae H. & Silvapulle, Param & Hyndman, Rob J., 2007. "Half-life estimation based on the bias-corrected bootstrap: A highest density region approach," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3418-3432, April.
  16. Choi, Chi-Young & Matsubara, Kiyoshi, 2007. "Heterogeneity in the persistence of relative prices: What do the Japanese cities tell us?," Journal of the Japanese and International Economies, Elsevier, vol. 21(2), pages 260-286, June.
  17. Elena Pesavento & Barbara Rossi, 2006. "Impulse Responses Confidence Intervals for Persistent Data: What Have We Learned?," Emory Economics 0603, Department of Economics, Emory University (Atlanta).
  18. Ca' Zorzi, Michele & Muck, Jakub & Rubaszek, Michał, 2013. "Real exchange rate forecasting: a calibrated half-life PPP model can beat the random walk," Working Paper Series 1576, European Central Bank.
  19. Hyeyoen Kim, 2011. "Large Data Sets, Nonlinearity and the Speed of Adjustment to Real Exchange Rate Shocks," Post-Print hal-00665456, HAL.
  20. Ca' Zorzi, Michele & Kolasa, Marcin & Rubaszek, Michał, 2016. "Exchange rate forecasting with DSGE models," Working Paper Series 1905, European Central Bank.
  21. Jaebeom Kim & Masao Ogaki & Minseok Yang, 2003. "Structural Error Correction Models: Instrumental Variables Methods and an application to an exchange rate model," RCER Working Papers 502, University of Rochester - Center for Economic Research (RCER).
  22. Rossi, Barbara, 2005. "Confidence Intervals for Half-Life Deviations From Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 432-442, October.
  23. Mayoral, Laura & Dolores Gadea, María, 2011. "Aggregate real exchange rate persistence through the lens of sectoral data," Journal of Monetary Economics, Elsevier, vol. 58(3), pages 290-304.
  24. 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.
  25. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
  26. LAN, Yuexing & SYLWESTER, Kevin, 2010. "Does the law of one price hold in China? Testing price convergence using disaggregated data," China Economic Review, Elsevier, vol. 21(2), pages 224-236, June.
  27. I Paya & D Peel, 2005. "A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994," Working Papers 565953, Lancaster University Management School, Economics Department.
  28. Lopez, Claude & Murray, Christian J & Papell, David H, 2005. "State of the Art Unit Root Tests and Purchasing Power Parity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(2), pages 361-69, April.
  29. Fanelli, Luca & Paruolo, Paolo, 2010. "Speed of adjustment in cointegrated systems," Journal of Econometrics, Elsevier, vol. 158(1), pages 130-141, September.
  30. 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.
  31. I Paya & D Peel, 2005. "Temporal aggregation of an ESTAR process," Working Papers 565938, Lancaster University Management School, Economics Department.
  32. Sofiane H. Sekioua, 2004. "Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the dominant root and half-lives of shocks," Money Macro and Finance (MMF) Research Group Conference 2004 91, Money Macro and Finance Research Group.
  33. Ahmed Asseery, 2005. "Evidence of non-linearities in the bilateral real exchange rates of the British pound," International Economic Journal, Taylor & Francis Journals, vol. 19(1), pages 63-90.
  34. Koedijk, Kees G. & Tims, Ben & van Dijk, Mathijs A., 2011. "Why panel tests of purchasing power parity should allow for heterogeneous mean reversion," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 246-267, February.
  35. Fisher, Mark, 2015. "Fitting a distribution to survey data for the half-life of deviations from PPP," FRB Atlanta Working Paper 2015-15, Federal Reserve Bank of Atlanta.
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