Are real exchange rates nonlinear with a unit root? Evidence on PPP for Italy : a note
Data(s) |
01/10/2007
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Resumo |
In this article, we apply the recently developed threshold autoregression model to examine both linearity and stationarity of Italy's real exchange rate vis--vis her six trading partner (G6) countries. Our main finding is that Italy's real exchange rate is a nonlinear process that is not characterized by a unit root process for five of six trading partner countries. This provides strong support for purchasing power parity. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Routledge |
Relação |
http://dro.deakin.edu.au/eserv/DU:30007765/narayan-arerealexchange-2007.pdf http://dx.doi.org/10.1080/00036840600606369 |
Direitos |
2007, Routledge; Informa |
Palavras-Chave | #threshold autoregression model #real exchange rates |
Tipo |
Journal Article |