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Nonlinear adjustment towards purchasing power parity: the Swiss Franc-German Mark case
Guerra, Roger - In: Swiss Journal of Economics and Statistics (SJES) 139 (2003) I, pp. 83-100
We test the hypothesis of nonlinear adjustment towards the purchasing power parity as suggested by Dumas' (1992) model. We estimate a stable exponential smooth transition regression model (ESTAR) for the Swiss franc/German mark exchange rate over the 1960-1998 period, where the adjustment to the...
Persistent link: https://www.econbiz.de/10005148780
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Is reversion to PPP in euro exchange rates non-linear?
Schnatz, Bernd - In: International Economics and Economic Policy 4 (2007) 3, pp. 281-297
Persistent link: https://www.econbiz.de/10005705591
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Is reversion to PPP in euro exchange rates non-linear?
Schnatz, Bernd - European Central Bank - 2006
The paper tests for nonlinearities in the adjustment of the euro exchange rate towards purchasing power parity (PPP …). It presents new survey based evidence consistent with non-linear patterns in euro exchange rate dynamics. Moreover, based … reversion in euro exchange rates increases non-linearly with the magnitude of the PPP deviation. Accordingly, while the euro …
Persistent link: https://www.econbiz.de/10005816308
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Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues
Égert, Balázs; Halpern, László; MacDonald, Ronald - William Davidson Institute, University of Michigan - 2005
In this paper we present an overview of a number of issues relating to the equilibrium exchange rates of transition economies of the former soviet bloc. In particular, we present a critical overview of the various methods available for calculating equilibrium exchange rates and discuss how...
Persistent link: https://www.econbiz.de/10005784651
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Real exchange rate and competitiveness of an EU's ultra-peripheral region: La Reunion Island
Candau, Fabien; Goujon, Michaël; Hoarau, Jean-François; … - In: Economie Internationale (2014) 137, pp. 1-21
This article aims at analyzing the problem of real exchange rate appreciation and competitiveness in the EU's ultra-peripheral regions by the case study of La Reunion Island. After describing economic characteristics of this French overseas department, such as the large deficit of the trade...
Persistent link: https://www.econbiz.de/10010827729
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External rebalancing is not just an exporters' story: real exchange rates, the non-tradable sector and the euro
Ruscher, Eric; Wolff, Guntram B. - Volkswirtschaftliche Fakultät, … - 2009
-tradable goods and services. The elimination of nominal exchange rates with the euro does not change these relationships. Government …
Persistent link: https://www.econbiz.de/10008559023
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Testing Purchasing Power Parity in Romania using standard unit root tests, with one structural break and cointegration analysis
Ghiba, Nicolae; Sadoveanu, Diana - In: Romanian Economic Journal 15 (2012) 44, pp. 225-242
In this paper we aim to analyze the long-run validity of the Purchasing Power Parity (PPP) hypothesis for the Romanian exchange rate. Our goal is achieved using Zivot-Andrews test with one structural break in order to identify changes in real exchange rate compared with traditional tests like...
Persistent link: https://www.econbiz.de/10010970425
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A Nonparametric Study of Real Exchange Rate Persistence over a Century
Kim, Hyeongwoo; Ryu, Deockhyun - Department of Economics, Auburn University - 2013
This paper estimates the degree of persistence of 16 long-horizon real exchange rates relative to the US dollar. We use nonparametric operational algorithms by El-Gamal and Ryu (2006) for general nonlinear models based on two statistical notions: the short memory in mean (SMM) and the short...
Persistent link: https://www.econbiz.de/10010862348
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An Analysis of Purchasing Power Parity for the Turkish Economy Using Unit Root Testing with Multiple Structural Breaks
GÜR, Betül - In: Eurasian Eononometrics, Statistics and Emprical … 1 (2015) 1, pp. 32-42
The application of the law of one price to the international market is purchasing power parity. Purchasing power parity associates the prices of all goods used in foreign trade with the exchange rate. If the purchasing power parity is valid, the changes in the nominal exchange rates balance the...
Persistent link: https://www.econbiz.de/10011268632
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EMPIRICAL VERIFICATION OF THE PURCHASING POWER PARITY
Wisniewski, Jakub - In: Oeconomia Copernicana 3 (2012) 3, pp. 37-61
This paper attempts to empirically verify the Purchasing Power Parity. Particular attention has been paid to the possible reasons behind the deviations of exchange rates from the values implied by the parity and to the theoretical justifi-cation of this phenomenon. Formal empirical verification...
Persistent link: https://www.econbiz.de/10011273781