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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. Taylor, Mark P & Peel, David A & Sarno, Lucio, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1015-42, November.
  2. 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.
  3. 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.
  4. Rapach, David E. & Wohar, Mark E., 2006. "The out-of-sample forecasting performance of nonlinear models of real exchange rate behavior," International Journal of Forecasting, Elsevier, vol. 22(2), pages 341-361.
  5. 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.
  6. 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.
  7. Harper, Daniel C. & Goodwin, Barry K., 1999. "Price Transmission, Threshold Behavior, And Asymmetric Adjustment In The U.S. Pork Sector," 1999 Annual meeting, August 8-11, Nashville, TN 21666, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  8. 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.
  9. Holmes, Mark J. & Maghrebi, Nabil, 2004. "Asian real interest rates, nonlinear dynamics, and international parity," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 387-405.
  10. 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.
  11. 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).
  12. David Parsley Shang-Jin Wei, 2002. "Currency Arrangements And Goods Market Integration: A Price Based Approach," International Finance 0211004, EconWPA.
  13. 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.
  14. James E. Anderson & Eric van Wincoop, 2004. "Trade Costs," NBER Working Papers 10480, National Bureau of Economic Research, Inc.
  15. 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.
  16. 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.
  17. Kim, Hyeongwoo & Moh, Young-Kyu, 2009. "A Century of Purchasing Power Parity Confirmed: The Role of Nonlinearity," MPRA Paper 17488, University Library of Munich, Germany.
  18. Ted Juhl & William Miles & Marc D. Weidenmier, 2004. "Covered Interest Arbitrage: Then vs. Now," NBER Working Papers 10961, National Bureau of Economic Research, Inc.
  19. Darbha, Gangadhar & Patel, Urjit R., 2004. "Nonlinear Adjustment in Real Exchange Rates and Long Run Purchasing Power Parity--Further Evidence," Working Papers 04-1, University of Pennsylvania, Wharton School, Weiss Center.
  20. Frédérique Bec & Mélika Bensalem & Marine Carrasco, 2010. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," Post-Print hal-00685810, HAL.
  21. 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.
  22. Engel, C., 1996. "Long-Run PPP May Not Hold After All," Working Papers 96-05, University of Washington, Department of Economics.
  23. Leonard, Greg & Stockman, Alan C, 2002. "Current Accounts and Exchange Rates: A New Look at the Evidence," Review of International Economics, Wiley Blackwell, vol. 10(3), pages 483-96, August.
  24. 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.
  25. Buncic, Daniel, 2009. "Understanding forecast failure in ESTAR models of real exchange rates," MPRA Paper 13121, University Library of Munich, Germany.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. Martin Cincibuch & Jiri Podpiera, 2004. "Beyond Balassa - Samuelson: Real Appreciation in Tradables in Transition Countries," Working Papers 2004/09, Czech National Bank, Research Department.
  31. 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.
  32. Jan J J Groen & Akito Matsumoto, 2004. "Real exchange rate persistence and systematic monetary policy behaviour," Bank of England working papers 231, Bank of England.
  33. Konstantin Gluschenko, 2003. "Market integration in Russia during the transformation years," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 11(3), pages 411-434, 09.
  34. Sarno, Lucio & Valente, Giorgio, 2006. "Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3147-3169, November.
  35. 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).
  36. 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.
  37. 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.
  38. 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.
  39. Hina, Hafsa & Qayyum, Abdul, 2015. "Exchange Rate Determination and Out of Sample Forecasting: Cointegration Analysis," MPRA Paper 61997, University Library of Munich, Germany.
  40. D Peel & I A Venetis, 2005. "Smooth transition models and arbitrage consistency," Working Papers 566786, Lancaster University Management School, Economics Department.
  41. Pål Boug & Ådne Cappelen & Torbjørn Eika, 2005. "Exchange Rate Pass-through in a Small Open Economy," Discussion Papers 429, Statistics Norway, Research Department.
  42. Luca Antonio Ricci & Ronald MacDonald, 2002. "Purchasing Power Parity and New Trade Theory," IMF Working Papers 02/32, International Monetary Fund.
  43. 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.
  44. Root, Thomas H. & Lien, Donald, 2003. "Can modeling the natural gas futures market as a threshold cointegrated system improve hedging and forecasting performance?," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 117-133.
  45. Sekhar, C.S.C., 2012. "Agricultural market integration in India: An analysis of select commodities," Food Policy, Elsevier, vol. 37(3), pages 309-322.
  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. Rodolphe Blavy & Luciana Juvenal, 2009. "Mexico's integration into NAFTA markets: a view from sectoral real exchange rates," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 441-464.
  48. Berka, Martin, 2006. "Non-linear adjustment in law of one price deviations and physical characteristics of goods," MPRA Paper 8606, University Library of Munich, Germany, revised Dec 2007.
  49. 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.
  50. 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.
  51. 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.
  52. Adam Reiff & Attila Ratfai, 2012. "The Geography of Consumer Prices," 2012 Meeting Papers 799, Society for Economic Dynamics.
  53. Jordà, Òscar & Taylor, Alan M., 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," CEPR Discussion Papers 7568, C.E.P.R. Discussion Papers.
  54. Jean Imbs & Haroon Mumtaz & Morton O. Ravn & Helene Rey, 2002. "PPP Strikes Back: Aggregation and the Real Exchange Rate," NBER Working Papers 9372, National Bureau of Economic Research, Inc.
  55. Taglioni, Daria & Anderton, Robert & Baldwin, Richard E., 2003. "The impact of monetary union on trade prices," Working Paper Series 0238, European Central Bank.
  56. Michael Dueker & Martin Sola & Fabio Spagnolo, 2007. "Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting," Discussion Papers 5_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
  57. Baum, Christopher F. & Barkoulas, John T. & Caglayan, Mustafa, 2001. "Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 379-399, June.
  58. 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.
  59. 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.
  60. 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).
  61. Susanto Basu & Alan M. Taylor, 1999. "Business Cycles in International Historical Perspective," Journal of Economic Perspectives, American Economic Association, vol. 13(2), pages 45-68, Spring.
  62. Matthew Slaughter, 2001. "Does trade liberalization converge factor prices? Evidence from the antebellum transportation revolution," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 10(3), pages 339-362.
  63. 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.
  64. 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.
  65. Kim, Soyoung & Lima, Luiz Renato, 2010. "Local persistence and the PPP hypothesis," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 555-569, April.
  66. Cristina Terra, Frederico Valladares, 2009. "Real Exchange Rate Misalignments," THEMA Working Papers 2009-03, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  67. Buncic, Daniel & Melecky, Martin, 2011. "Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers," Economics Working Paper Series 1139, University of St. Gallen, School of Economics and Political Science.
  68. 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.
  69. 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.
  70. Rodolfo Helg & Massimiliano Serati, . "Does the PPP need the UIP?," Working Papers 97, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  71. Alan M. Taylor & Mark P. Taylor, 2004. "The Purchasing Power Parity Debate," Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 135-158, Fall.
  72. 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.
  73. 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.
  74. Goodness C. Aye & Mehmet Balcilar & Adél 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," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 10(1), pages 121-148, April.
  75. Lutz Kilian & Mark P. Taylor, 2001. "Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?," Working Papers 464, Research Seminar in International Economics, University of Michigan.
  76. 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.
  77. 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.
  78. 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.
  79. 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.
  80. 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.
  81. Escribano, A. & Franses, Ph.H.B.F. & van Dijk, D.J.C., 1998. "Nonlinearities and outliers: robust specification of STAR models," Econometric Institute Research Papers EI 9832, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  82. 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.
  83. McMillan, David G., 2007. "Non-linear forecasting of stock returns: Does volume help?," International Journal of Forecasting, Elsevier, vol. 23(1), pages 115-126.
  84. Hyeongwoo Kim & Jintae Kim, 2014. "London Calling: Nonlinear Mean Reversion across National Stock Markets," Auburn Economics Working Paper Series auwp2014-13, Department of Economics, Auburn University.
  85. Yuriy Gorodnichenko & Linda Tesar, 2005. "A Re-Examination of the Border Effect," Working Papers 546, Research Seminar in International Economics, University of Michigan.
  86. R. Macdonald & L. Ricci, 2003. "PPP and the Balassa Samuelson Effect: The Role of the DistributionSector," DNB Staff Reports (discontinued) 81, Netherlands Central Bank.
  87. 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.
  88. César A. Calderón, 2002. "Real Exchange Rates in the Long and Short Run: A Panel Co-Integration Approach," Working Papers Central Bank of Chile 153, Central Bank of Chile.
  89. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR model: a multivariate dynamic mixture autoregression," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  90. 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.
  91. Koutroumanidis, Theodoros & Zafeiriou, Eleni & Arabatzis, Garyfallos, 2009. "Asymmetry in price transmission between the producer and the consumer prices in the wood sector and the role of imports: The case of Greece," Forest Policy and Economics, Elsevier, vol. 11(1), pages 56-64, January.
  92. Parsley, David & Wei, Shang-jin, 2007. "In Search of a Euro Effect: Big Lessons from a Big Mac Meal?," MPRA Paper 6041, University Library of Munich, Germany.
  93. Jose Campa & Holger Wolf, 1998. "Goods Arbitrage and Real Exchange Rate Stationarity," Working Papers 29, Oesterreichische Nationalbank (Austrian Central Bank).
  94. 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.
  95. 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).
  96. 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.
  97. 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.
  98. Lucio Sarno & Mark P. Taylor, 2002. "Purchasing Power Parity and the Real Exchange Rate," IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 5.
  99. Sarno, Lucio & Taylor, Mark P. & Chowdhury, Ibrahim, 2004. "Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 1-25, February.
  100. H. L. Leon & Serineh Najarian, 2003. "Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates," IMF Working Papers 03/159, International Monetary Fund.
  101. Ming Chien Lo & James Morley, 2013. "Bayesian Analysis of Nonlinear Exchange Rate Dynamics and the Purchasing Power Parity Persistence Puzzle," Discussion Papers 2013-05, School of Economics, The University of New South Wales.
  102. 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.
  103. Maurice Obstfeld & Alan M. Taylor, 2002. "Globalization and Capital Markets," NBER Working Papers 8846, National Bureau of Economic Research, Inc.
  104. Konstantin Gluschenko, 2004. "Analysing changes in market integration through a cross-sectional test for the law of one price," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(2), pages 135-149.
  105. 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.
  106. 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.
  107. Goodwin, Barry K. & Grennes, Thomas J., 1998. "Tsarist Russia and the World Wheat Market," Explorations in Economic History, Elsevier, vol. 35(4), pages 405-430, October.
  108. Philip, Kostov, 2006. "Can the Law of One Price be tested?," MPRA Paper 628, University Library of Munich, Germany, revised 17 Jan 2006.
  109. O'Connell, Paul G. J. & Wei, Shang-Jin, 2002. ""The bigger they are, the harder they fall": Retail price differences across U.S. cities," Journal of International Economics, Elsevier, vol. 56(1), pages 21-53, January.
  110. Philip Hans Franses & Dick van Dijk, 2006. "A simple test for PPP among traded goods," Applied Financial Economics, Taylor & Francis Journals, vol. 16(1-2), pages 19-27.
  111. 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.
  112. 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.
  113. Deockhyun Ryu & Mahmoud A. El-Gamal, 2004. "Short Memory and the PPP-puzzle," Econometric Society 2004 Far Eastern Meetings 577, Econometric Society.
  114. 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.
  115. Sartaj Rasool Rather & S. Raja Sethu Durai & M. Ramachandran, 2014. "Asymmetric Price Adjustment - Evidence For India," Working Papers 2014-094, Madras School of Economics,Chennai,India.
  116. 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.
  117. Subervie, Julie, 2011. "Producer price adjustment to commodity price shocks: An application of threshold cointegration," Economic Modelling, Elsevier, vol. 28(5), pages 2239-2246, September.
  118. 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.
  119. Daniel Agyapong & Anokye M. Adam, 2012. "Exchange Rate Behaviour: Implication for West African Monetary Zone," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 2(4), pages 215-228, October.
  120. 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.
  121. Holmes, Mark J. & Maghrebi, Nabil, 2006. "Are international real interest rate linkages characterized by asymmetric adjustments?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(4), pages 384-396, October.
  122. 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.
  123. Cheung, Yin-Wong & Lai, Kon S. & Bergman, Michael, 2004. "Dissecting the PPP puzzle: the unconventional roles of nominal exchange rate and price adjustments," Journal of International Economics, Elsevier, vol. 64(1), pages 135-150, October.
  124. 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.
  125. Goldberg, Pinelopi K. & Verboven, Frank, 2005. "Market integration and convergence to the Law of One Price: evidence from the European car market," Journal of International Economics, Elsevier, vol. 65(1), pages 49-73, January.
  126. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk : facts and puzzles from currency boards," Policy Research Working Paper Series 2815, The World Bank.
  127. Juvenal Luciana & Taylor Mark P., 2008. "Threshold Adjustment of Deviations from the Law of One Price," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-46, September.
  128. Mark J.Holmes, 2002. "Are there non linearities in US: Latin American real exchange behavior," Estudios de Economia, University of Chile, Department of Economics, vol. 29(2 Year 20), pages 177-190, December.
  129. Ronald MacDonald & Luca Antonio Ricci, 2005. "The Real Exchange Rate And The Balassa-Samuelson Effect: The Role Of The Distribution Sector," Pacific Economic Review, Wiley Blackwell, vol. 10(1), pages 29-48, 02.
  130. López Villavicencio, Antonia, 2008. "Nonlinearities or outliers in real exchange rates?," Economic Modelling, Elsevier, vol. 25(4), pages 714-730, July.
  131. Clements, Kenneth & Lan, Yihui & Roberts, John, 2008. "Exchange-rate economics for the resources sector," Resources Policy, Elsevier, vol. 33(2), pages 102-117, June.
  132. Arusha Cooray, 2009. "Is the adjustment to real interest rate parity asymmetric?," Empirica, Springer, vol. 36(4), pages 407-418, November.
  133. 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.
  134. Gonzalo, Jesùs & Pitarakis, Jean-Yves, 2005. "Threshold effects In multivariate error correction models," Discussion Paper Series In Economics And Econometrics 0501, Economics Division, School of Social Sciences, University of Southampton.
  135. E Pavlidis & I Paya & D Peel, 2009. "Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear," Working Papers 601190, Lancaster University Management School, Economics Department.
  136. 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.
  137. 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.
  138. 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.
  139. 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.
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