Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era

By Christopher F. Baum, John T. Barkoulas, Mustafa Onur Çaglayan. 2001

297 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c2c573fa877667eff135b9257ef600da6844d3ee

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In Economics and Econometrics

Citations in the corpus

Are Asian Real Exchange Rates Stationary (2004, background): “Based on linearity tests (Teräsvirta, 1994), a number of studies have provided empirical evidence on the nonlinear adjustment of exchange rates in the developed countries (Baum et al., 2001), the Middle East (Sarno, 2000) and Asian economies (Liew et al., 2002, 2003).”
The Law of One Price: Evidence from the Transitional Economy of China (2006, background): “(1997), Baum et al. (2001), and Taylor et al. (2001). Following these studies, the deviations from the LOP can be described in a standard exponential smooth threshold autoregressive (ESTAR) model, which takes the following form:”
Nonlinear mean reversion in real exchange rates (2002, background): “] denotes the largest integer part, ⇒ stands for weak convergence, V (r) ≡ W (r) − rW (1) is a standard Brownian bridge, V (r) = V (r)− ∫ 1 0 V (r)dr, W (r) is a standard Brownian motion on r ∈ [0, 1].”
The Yen Real Exchange Rate may be Stationary After All: Evidence from Non-linear Unit-root Tests (2004, unknown): “Under the alternative of stationarity, μ is strictly positive and (3) becomes”
A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries (2009, background): “…their equilibrium values will be corrected by arbitrage, small deviations may not be corrected, and the globally stationary ESTAR model with a unit root central regime is able to capture this type of nonlinearity; see for example Michael et al. (1997), Baum et al. (2001), and Taylor et al. (2001).”