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Citations for "Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited"

by Maurice Obstfeld and Alan M. Taylor.

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  1. Nelson C. Mark & Young-Kyu Moh, 2005. "The real exchange rate and real interest differentials: the role of nonlinearities," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 323-335.
  2. David Parsley Shang-Jin Wei, 2002. "Currency Arrangements And Goods Market Integration: A Price Based Approach," International Finance 0211004, EconWPA.
  3. Christopher F. Baum & Mustafa Caglayan & John Barkoulas, 1998. "Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era," Boston College Working Papers in Economics 404., Boston College Department of Economics, revised 16 Nov 1999.
  4. Serra, Teresa & Goodwin, Barry K., 2002. "Specification Selection Issues In Multivariate Threshold And Switching Models," 2002 Annual meeting, July 28-31, Long Beach, CA 19843, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  5. Taylor, Alan M, 2001. "Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price," Econometrica, Econometric Society, vol. 69(2), pages 473-98, March.
  6. Maurice Obstfeld and Kenneth Rogoff., 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," Center for International and Development Economics Research (CIDER) Working Papers C00-112, University of California at Berkeley.
  7. Goodwin, Barry K. & Harper, Daniel C., 2000. "Price Transmission, Threshold Behavior, And Asymmetric Adjustment In The U.S. Pork Sector," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 32(03), December.
  8. Philip, Kostov, 2006. "Can the Law of One Price be tested?," MPRA Paper 628, University Library of Munich, Germany, revised 17 Jan 2006.
  9. Glushchenko Konstantin, 2002. "Common Russian Market: Myth rather than Reality," EERC Working Paper Series 01-11e, EERC Research Network, Russia and CIS.
  10. Maican, Florin G. & Sweeney, Richard J., 2006. "Real Exchange Rate Adjustment In European Transition Countries," Working Papers in Economics 202, University of Gothenburg, Department of Economics.
  11. Anderton, Robert & Richard E Baldwin & Daria Taglioni, 2003. "The Impact of Monetary Union on Trade Prices," Royal Economic Society Annual Conference 2003 5, Royal Economic Society.
  12. Christian Dreger & Konstantin Kholodilin & Kirsten Lommatzsch & Jirka Slacalek & Przemyslaw Wozniak, 2007. "Price convergence in the enlarged internal market," European Economy - Economic Papers 292, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  13. Eduardo Levy Yeyati & Sergio Luis Schmukler & Neeltje Van Horen, 2006. "International Financial Integration through the Law of One Price," Business School Working Papers 2006-01, Universidad Torcuato Di Tella.
  14. Pippenger, John, 2007. "Strictly Speaking, the Law of One Price Works in Commodity Markets," University of California at Santa Barbara, Economics Working Paper Series qt1sf2d60x, Department of Economics, UC Santa Barbara.
  15. Jose Campa & Holger Wolf, 1998. "Goods Arbitrage and Real Exchange Rate Stationarity," Working Papers 29, Oesterreichische Nationalbank (Austrian Central Bank).
  16. Rodolfo Helg & Massimiliano Serati, . "Does the PPP need the UIP?," Working Papers 97, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  17. Berka, Martin, 2005. "General Equilibrium Model of Arbitrage Trade and Real Exchange Rate Persistence," MPRA Paper 234, University Library of Munich, Germany.
  18. Theo Panagiotidis & Mark J Holmes, 2005. "Sustainability and Asymmetric Adjustment: Some New Evidence Concerning Behaviour of the US Current Account," Money Macro and Finance (MMF) Research Group Conference 2005 29, Money Macro and Finance Research Group.
  19. Hyginus Leon & Serineh Najarian, 2005. "Asymmetric adjustment and nonlinear dynamics in real exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 15-39.
  20. Marcus Asplund & Richard Friberg, 2001. "The Law of One Price in Scandinavian Duty-Free Stores," American Economic Review, American Economic Association, vol. 91(4), pages 1072-1083, September.
  21. 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.
  22. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
  23. Rodolphe Blavy & Luciana Juvenal, 2008. "Mexico's integration into NAFTA markets: a view from sectoral real exchange rates," Working Papers 2008-046, Federal Reserve Bank of St. Louis.
  24. Richard H. Clarida & Manuela Goretti & Mark P. Taylor, 2006. "Are There Thresholds of Current Account Adjustment in the G7?," NBER Working Papers 12193, National Bureau of Economic Research, Inc.
  25. Ronald MacDonald & Cezary WÛjcik, 2004. "Catching up: The role of demand, supply and regulated price effects on the real exchange rates of four accession countries," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 12(1), pages 153-179, 03.
  26. Manzan, Sebastiano & Westerhoff, Frank H., 2007. "Heterogeneous expectations, exchange rate dynamics and predictability," Journal of Economic Behavior & Organization, Elsevier, vol. 64(1), pages 111-128, September.
  27. Tai, Chu-Sheng, 2003. "Can currency risk be a source of risk premium in explaining forward premium puzzle?: Evidence from Asia-Pacific forward exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 291-311, October.
  28. repec:onb:oenbwp:y::i:28:b:1 is not listed on IDEAS
  29. Jordà, Òscar & Taylor, Alan M., 2012. "The carry trade and fundamentals: Nothing to fear but FEER itself," Journal of International Economics, Elsevier, vol. 88(1), pages 74-90.
  30. Norman, Stephen & Phillips, Kerk L., 2009. "What is the Shape of Real Exchange Rate Nonlinearity?," MPRA Paper 23504, University Library of Munich, Germany.
  31. Charles Engel, 1996. "Long-Run PPP May Not Hold After All," NBER Working Papers 5646, National Bureau of Economic Research, Inc.
  32. Susanto Basu & Alan M. Taylor, 1999. "Business Cycles in International Historical Perspective," NBER Working Papers 7090, National Bureau of Economic Research, Inc.
  33. Wilson, Christine A. & Featherstone, Allen M. & Kastens, Terry L., 2001. "Threshold Effects In Food And Agribusiness Stock Price Markets," 2001 Annual meeting, August 5-8, Chicago, IL 20591, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  34. Greg Leonard & Alan C. Stockman, 2001. "Current Accounts and Exchange Rates: A New Look at the Evidence," NBER Working Papers 8361, National Bureau of Economic Research, Inc.
  35. Gauri Prakash & Alan M. Taylor, 1997. "Measuring Market Integration: A Model of Arbitrage with an Econometric Application to the Gold Standard, 1879-1913," NBER Working Papers 6073, National Bureau of Economic Research, Inc.
  36. Esso, Loesse Jacques, 2010. "Threshold cointegration and causality relationship between energy use and growth in seven African countries," Energy Economics, Elsevier, vol. 32(6), pages 1383-1391, November.
  37. Lee, Inkoo, 2008. "Goods market arbitrage and real exchange rate volatility," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 1029-1042, September.
  38. Michael B. Devereux & Charles Engel, 2005. "Expenditure Switching vs. Real Exchange Rate Stabilization: Competing Objectives for Exchange Rate Policy," Working Papers 082005, Hong Kong Institute for Monetary Research.
  39. David Papell, 1998. "The Great Appreciation, the Great Depreciation, and the Purchasing Power Parity Hypothesis," Working Papers 30, Oesterreichische Nationalbank (Austrian Central Bank).
  40. Kilian, Lutz & Taylor, Mark P, 2001. "Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?," CEPR Discussion Papers 3024, C.E.P.R. Discussion Papers.
  41. James MacGee & Chris Hajzler, 2012. "Retail Price Differences across U.S. and Canadian Cities during the Interwar Period," 2012 Meeting Papers 1126, Society for Economic Dynamics.
  42. Daniel Buncic, 2008. "A Note on Long Horizon Forecasts of Nonlinear Models of Real Exchange Rates: Comments on Rapach and Wohar (2006)," Discussion Papers 2008-02, School of Economics, The University of New South Wales.
  43. Daiki Maki, 2008. "The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications," Computational Economics, Society for Computational Economics, vol. 31(1), pages 77-94, February.
  44. Alesina, Alberto Francesco, 1997. "Comments on 'Europe's Gamble' by M. Obstfeld," Scholarly Articles 12553725, Harvard University Department of Economics.
  45. Margarida Duarte, 2001. "International pricing in new open-economy models," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 53-70.
  46. 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.
  47. Ahmad, Yamin S., 2008. "The effects of small sample bias in Threshold Autoregressive models," Economics Letters, Elsevier, vol. 101(1), pages 6-8, October.
  48. Buncic, Daniel & Melecky, Martin, 2013. "Macroprudential stress testing of credit risk: A practical approach for policy makers," Journal of Financial Stability, Elsevier, vol. 9(3), pages 347-370.
  49. 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.
  50. Axel Grossmann & Marc Simpson & Teofilo Ozuna, 2014. "Investigating the PPP hypothesis using constructed U.S. dollar equilibrium exchange rate misalignments over the post-bretton woods period," Journal of Economics and Finance, Springer, vol. 38(2), pages 235-268, April.
  51. Frederic Bec & Melika Ben Salem & Marine Carrasco, 2004. "Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 382-395, October.
  52. Daniel Buncic, 2009. "Understanding forecast failure of ESTAR models of real exchange rates," EERI Research Paper Series EERI_RP_2009_18, Economics and Econometrics Research Institute (EERI), Brussels.
  53. Yin-Wong Cheung & Kon S. Lai & Michael Bergman, 2003. "Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustment," CESifo Working Paper Series 924, CESifo Group Munich.
  54. El-Gamal, Mahmoud A. & Ryu, Deockhyun, 2006. "Short-memory and the PPP hypothesis," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 361-391, March.
  55. David McMillan, 2004. "Non-linear predictability of UK stock market returns," Money Macro and Finance (MMF) Research Group Conference 2003 63, Money Macro and Finance Research Group.
  56. Jan J J Groen & Clare Lombardelli, 2004. "Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis," Bank of England working papers 223, Bank of England.
  57. Yamin Ahmad & Ming Chien Lo & Olena Mykhaylova, 2012. "Causes of Nonlinearities in low order models of the real exchange rate," Working Papers 12-01, UW-Whitewater, Department of Economics, revised Mar 2013.
  58. 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.
  59. David McMillan & Angela J Black, 2001. "Non Linear Error Correction in Spot and Forward Exchange Rates," CRIEFF Discussion Papers 0103, Centre for Research into Industry, Enterprise, Finance and the Firm.
  60. Joon Y. Park & Mototsugu Shintani, 2005. "Testing for a Unit Root against Transitional Autoregressive Models," Vanderbilt University Department of Economics Working Papers 05010, Vanderbilt University Department of Economics.
  61. Obstfeld, Maurice, 2001. "International Macroeconomics: Beyond the Mundell-Fleming Model," Center for International and Development Economics Research, Working Paper Series qt6796n8s0, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
  62. Ronald MacDonald & Luca Antonio Ricci, 2001. "PPP and the Balassa Samuelson Effect; The Role of the Distribution Sector," IMF Working Papers 01/38, International Monetary Fund.
  63. Luca Antonio Ricci & Ronald MacDonald, 2002. "Purchasing Power Parity and New Trade Theory," IMF Working Papers 02/32, International Monetary Fund.
  64. Deockhyun Ryu & Mahmoud A. El-Gamal, 2004. "Short Memory and the PPP-puzzle," Econometric Society 2004 Far Eastern Meetings 577, Econometric Society.
  65. Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2008. "3-Regime symmetric STAR modeling and exchange rate reversion," Working Papers 2009_05, Business School - Economics, University of Glasgow, revised Feb 2009.
  66. F. T. M. Kilima, 2006. "Are Price Changes in the World Market Transmitted to Markets in Less Developed Countries? A Case Study of Sugar, Cotton, Wheat, and Rice in Tanzania," The Institute for International Integration Studies Discussion Paper Series iiisdp160, IIIS.
  67. Kim, Hyeongwoo & Moh, Young-Kyu, 2010. "A century of purchasing power parity confirmed: The role of nonlinearity," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1398-1405, November.
  68. Michael Arghyrou & Virginie Boinet & Christopher Martin, 2004. "Non-linear and non-symmetric exchange-rate adjustment: new evidence from medium- and high-inflation economies," Money Macro and Finance (MMF) Research Group Conference 2003 2, Money Macro and Finance Research Group.
  69. Nikolaos Giannellis & Athanasios Papadopoulos, 2007. "Estimating the Equilibrium Effective Exchange Rate for Potential EMU Members," Open Economies Review, Springer, vol. 18(3), pages 307-326, July.
  70. Goodness C. Aye & Mehmet Balcilar & Adel Bosch & Rangan Gupta & Francois Stofberg, 2013. "The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand," Working Papers 201304, University of Pretoria, Department of Economics.
  71. Kuo, Biing-Shen & Mikkola, Anne, 2000. "Forecasting the Real US/DEM Exchange Rate: TAR vs. AR," Research Discussion Papers 13/2000, Bank of Finland.
  72. Chowdhury, Ibrahim & Sarno, Lucio & Taylor, Mark P, 2002. "Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study," CEPR Discussion Papers 3377, C.E.P.R. Discussion Papers.
  73. H. L. Leon & Serineh Najarian, 2003. "Time-Varying Thresholds; An Application to Purchasing Power Parity," IMF Working Papers 03/181, International Monetary Fund.
  74. Parsley, David & Wei, Shang-Jin, 2008. "In search of a euro effect: Big lessons from a Big Mac Meal?," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 260-276, March.
  75. Jolejole-Foreman, Maria Christina & Mallory, Mindy L. & Baylis, Katherine R., 2013. "Impact of Wheat and Rice Export Ban on Indian Market Integration," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150595, Agricultural and Applied Economics Association.
  76. Lucio Sarno, 2000. "Systematic sampling and real exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 136(1), pages 24-57, March.
  77. van Campenhout, Bjorn, 2005. "Modelling Trends in Food Market Integration: Method and an Application to Tanzanian Maize Markets," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24718, European Association of Agricultural Economists.
  78. Taylor, Alan M. & Taylor, Mark P, 2004. "The Purchasing Power Parity Debate," CEPR Discussion Papers 4495, C.E.P.R. Discussion Papers.
  79. Woo, Kai-Yin & Lee, Shu-Kam & Chan, Alan, 2014. "Non-linear adjustments to intranational PPP," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 360-371.
  80. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," Rivista di Politica Economica, SIPI Spa, vol. 93(4), pages 3-46, July-Augu.
  81. Yuriy Gorodnichenko & Linda Tesar, 2005. "A Re-Examination of the Border Effect," Working Papers 546, Research Seminar in International Economics, University of Michigan.
  82. Adam Reiff & Attila Ratfai, 2012. "The Geography of Consumer Prices," 2012 Meeting Papers 799, Society for Economic Dynamics.
  83. Gluschenko, Konstantin, 2002. "Market Integration in Russia During the Transformation Years," Economics Series 116, Institute for Advanced Studies.
  84. 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.
  85. Goodwin, Barry K. & Grennes, Thomas J. & Craig, Lee A., 2002. "Mechanical Refrigeration and the Integration of Perishable Commodity Markets," Explorations in Economic History, Elsevier, vol. 39(2), pages 154-182, April.
  86. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
  87. Franses, Ph.H.B.F. & van Dijk, D.J.C., 2002. "A simple test for PPP among traded goods," Econometric Institute Research Papers EI 2002-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  88. López Villavicencio, Antonia, 2008. "Nonlinearities or outliers in real exchange rates?," Economic Modelling, Elsevier, vol. 25(4), pages 714-730, July.
  89. 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.
  90. Michael J. Dueker & Martin Sola & Fabio Spagnolo, 2006. "Contemporaneous threshold autoregressive models: estimation, testing and forecasting," Working Papers 2003-024, Federal Reserve Bank of St. Louis.
  91. Frédérique BEC & Mélika BEN SALEM & Marine CARRASCO, 2010. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model," Annales d'Economie et de Statistique, ENSAE, issue 99-100, pages 395-427.
  92. James E. Anderson & Eric van Wincoop, 2004. "Trade Costs," Journal of Economic Literature, American Economic Association, vol. 42(3), pages 691-751, September.
  93. 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.
  94. Martin Berka, 2009. "Nonlinear Adjustment in Law of One Price Deviations and Physical Characteristics of Goods," Review of International Economics, Wiley Blackwell, vol. 17(1), pages 51-73, 02.
  95. Santeramo, Fabio Gaetano, 2012. "Price transmission in the European tomatoes and cauliflowers sectors," MPRA Paper 62180, University Library of Munich, Germany.
  96. Erik Alencar de Figueiredo & André de Mattos Marques, 2013. "Testing absolute PPP hypothesis for twenty countries through the skeleton from a SETAR model- some new evidence," Série Textos para Discussão (Working Papers) 16, Programa de Pós-Graduação em Economia - PPGE, Universidade Federal da Paraíba.
  97. César A. Calderón, 2004. "Real exchange rates in the long and short run: a panel co-integration approach," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 19(2), pages 41-83, December.
  98. Mario Cerrato & Hyunsok Kim & Ronald Macdonald, 2010. "Three-Regime Asymmetric STAR Modeling and Exchange Rate Reversion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1447-1467, October.
  99. Gonzalo, Jesus & Pitarakis, Jean-Yves, 2002. "Estimation and model selection based inference in single and multiple threshold models," Journal of Econometrics, Elsevier, vol. 110(2), pages 319-352, October.
  100. Obstfeld, Maurice, 1998. " Open-Economy Macroeconomics: Developments in Theory and Policy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(1), pages 247-75, March.
  101. Li, Ming-Yuan Leon, 2008. "Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 511-520.
  102. Maurice Obstfeld & Alan M. Taylor, 2003. "Globalization and Capital Markets," NBER Chapters, in: Globalization in Historical Perspective, pages 121-188 National Bureau of Economic Research, Inc.
  103. Alessio Emanuele BIONDO, 2010. "The Law of One Price: Survey of a Failure," Theoretical and Practical Research in Economic Fields, ASERS Publishing, vol. 0(2), pages 168 - 182, December.
  104. 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).
  105. David G. McMillan, 2009. "Non-linear interest rate dynamics and forecasting: evidence for US and Australian interest rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 139-155.
  106. 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.
  107. Sanogo, Issa & Maliki Amadou, Mahamane, 2010. "Rice market integration and food security in Nepal: The role of cross-border trade with India," Food Policy, Elsevier, vol. 35(4), pages 312-322, August.
  108. Burke, William J. & Myers, Robert J., 2014. "Spatial equilibrium and price transmission between Southern African maize markets connected by informal trade," Food Policy, Elsevier, vol. 49(P1), pages 59-70.
  109. 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.
  110. Coleman, Andrew, 2007. "The pitfalls of estimating transactions costs from price data: Evidence from trans-Atlantic gold-point arbitrage, 1886-1905," Explorations in Economic History, Elsevier, vol. 44(3), pages 387-410, July.
  111. Liu, Lin & Chang, Hsu-Ling & Su, Chi-Wei & Jiang, Chun, 2013. "Real interest rate parity in East Asian countries based on China with flexible Fourier stationary test," Japan and the World Economy, Elsevier, vol. 25, pages 52-58.
  112. 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.
  113. Aaron Smallwood, 2004. "Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity," Computing in Economics and Finance 2004 23, Society for Computational Economics.
  114. Pinelopi K. Goldberg & Frank Verboven, 2001. "Market Integration and Convergence to the Law of One Price: Evidence from the European Car Market," NBER Working Papers 8402, National Bureau of Economic Research, Inc.
  115. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 5.
  116. Christian Broda & David E. Weinstein, 2008. "Understanding International Price Differences Using Barcode Data," NBER Working Papers 14017, National Bureau of Economic Research, Inc.
  117. 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.
  118. Essam, Timothy M., 2012. "Using Satellite-Based Remote Sensing Data to Assess Millet Price Regimes and Market Performance in Niger," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124654, Agricultural and Applied Economics Association.
  119. Barry K. Goodwin & Nicholas E. Piggott, 2001. "Spatial Market Integration in the Presence of Threshold Effects," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 83(2), pages 302-317.
  120. 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.
  121. Federico, Giovanni, 2007. "Market integration and market efficiency: The case of 19th century Italy," Explorations in Economic History, Elsevier, vol. 44(2), pages 293-316, April.
  122. M. Ali Kemal & Rana Murad Haider, 2004. "Exchange Rate Behaviour after Recent Float: The Experience of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 43(4), pages 829-852.
  123. Ramirez, Octavio A., 2006. "Use Of Asymmetric-Cycle Autoregressive Models To Improve Forecasting Of Agricultural Time Series Variables," 2006 Annual meeting, July 23-26, Long Beach, CA 21365, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  124. Jaanus Raim, 2004. "The Alternative to the Existing System of the Concepts about Purchasing Power Parity Deviations . Derived from the Estonian Experience," Working Papers 115, Tallinn School of Economics and Business Administration, Tallinn University of Technology.
  125. Hassouneh, Islam & Serra, Teresa & Gil, Jose Maria, 2009. "Price transmission in the Spanish bovine sector: the BSE effect," 2009 Conference, August 16-22, 2009, Beijing, China 50121, International Association of Agricultural Economists.
  126. McMillan, David G., 2005. "Non-linear dynamics in international stock market returns," Review of Financial Economics, Elsevier, vol. 14(1), pages 81-91.
  127. Asplund, Marcus & Friberg, Richard, 2000. "One good - two prices," SSE/EFI Working Paper Series in Economics and Finance 351, Stockholm School of Economics.
  128. Ted Juhl & William Miles & Marc D. Weidenmier, 2004. "Covered Interest Arbitrage: Then vs. Now," NBER Working Papers 10961, National Bureau of Economic Research, Inc.
  129. Lo, Ming Chien & Morley, James, 2015. "Bayesian analysis of nonlinear exchange rate dynamics and the purchasing power parity persistence puzzle," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 285-302.
  130. 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.
  131. Luciana Juvenal & Rodolphe Blavy, 2008. "Mexico'S Integration Into Nafta Markets; A View From Sectoral Real Exchange Rates and Transaction Costs," IMF Working Papers 08/123, International Monetary Fund.
  132. César Calderón, 2004. "Un Análisis del Comportamiento del Tipo de Cambio Real en Chile," Working Papers Central Bank of Chile 266, Central Bank of Chile.
  133. Loesse Esso, 2012. "Re-examining the saving-investment nexus: threshold cointegration and causality evidence from the ECOWAS," Economic Change and Restructuring, Springer, vol. 45(3), pages 193-220, August.
  134. Kleopatra Nikolaou, 2007. "The behaviour of the real exchange rate: Evidence from regression quantiles," Money Macro and Finance (MMF) Research Group Conference 2006 46, Money Macro and Finance Research Group.
  135. Ihle, Rico & von Cramon-Taubadel, Stephan, 2008. "A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37603, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  136. Charles Engel, 2002. "Expenditure Switching and Exchange Rate Policy," NBER Working Papers 9016, National Bureau of Economic Research, Inc.
  137. I Paya & D Peel, 2006. "On the relationship between Nominal Exchange Rates and domestic and foreign prices," Working Papers 577409, Lancaster University Management School, Economics Department.
  138. Alan C. Stockman, 1998. "New evidence connecting exchange rates to business cycles," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 73-89.
  139. Ian W. McLean & Alan M. Taylor, 2001. "Australian growth: a California perspective," Pacific Basin Working Paper Series 2001-06, Federal Reserve Bank of San Francisco.
  140. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2014. "Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity," Economic Modelling, Elsevier, vol. 36(C), pages 161-171.
  141. Guney, Selin & Goodwin, Barry K., 2013. "Semi-Parametric, Generalized Additive Vector Autoregressive Models of Spatial Price Dynamics," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 151149, Agricultural and Applied Economics Association.
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