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Nonlinear mean reversion in real exchange rates

Chortareas, Georgios E.; Kapetanios, George; Shin, Yongcheol - In: Economics letters 77 (2002) 3, pp. 411-417

Persistent link: https://www.econbiz.de/10001711523

Nonlinear mean reversion in real exchange rates

Chortareas, Georgios E.; Kapetanios, George; Shin, Yongcheol - In: Economics letters 77 (2002) 3, pp. 411-418

Persistent link: https://www.econbiz.de/10006765972

How puzzling is the PPP puzzle? An alternative half-life measure of convergence to PPP

Chortareas, Georgios E.; Kapetanios, George - 2004

The lengthy half-lives of real exchange rates in the presence of high degree of exchange rate volatility has been considered as one of the most puzzling empirical regularities in international macroeconomics. This paper suggests that the measure of half-life used in the literature might be...

Persistent link: https://www.econbiz.de/10010284120

Nonlinear alternatives to unit root tests and public finances sustainability : some evidence from Latin American and Caribbean countries

Chortareas, Georgios E.; Kapetanios, George; Uctum, Merih - In: Oxford bulletin of economics and statistics 70 (2008) 5, pp. 645-663

Persistent link: https://www.econbiz.de/10003759120

Getting PPP right : identifying mean-reverting real exchange rates in panels

Chortareas, Georgios E. (contributor); … - 2008

Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as to which cross-section units are stationary. As a...