Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles

By Mark P. Taylor, David Peel, Lucio Sarno. 2001

1,039 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/efb2608b26a3ded4b1dc03853208829e520fb0c1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Mark P. Taylor
2. David H. Papell
3. Robert Sollis
4. Robinson Kruse
5. Rebecca L. Driver
6. P. Westaway
7. George Kapetanios
8. C. Murray

In Finance

1. David H. Papell
2. James R. Lothian
3. George Kapetanios
4. Mark P. Taylor
5. Timo Teräsvirta
6. Frank H. Westerhoff
7. A. Cologni
8. C. Murray

Citations in the corpus

• 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).”
• Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect? (2008, positive): “These results therefore accord broadly with those reported in Taylor et al. (2001), and shed some light on Rogoff s (1996) PPP puzzlee .”
• On Cross-Country Differences in the Persistence of Real Exchange Rates (2000, background): “Taylor and Peel (1998) explores possible nonlinearity in the speed of PPP reversion.”
• Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists (2003, background): “Recent empirical studies (Sarantis 1999, Taylor and Peel 2000, Taylor et al. 2001, Chortareas et al. 2002) reveal evidence of nonlinear mean reversion in foreign exchange markets.”
• TESTING FOR A UNIT ROOT AGAINST TRANSITIONAL AUTOREGRESSIVE MODELS (2016, neutral): “The leading example is the aggregate real exchange rate dynamics under the purchasing power parity in the long-run [see, e.g., Michael, Nobay, and Peel (1997), and Taylor, Peel, and Sarno (2001)].”
• THRESHOLDS AND SMOOTH TRANSITIONS IN VECTOR AUTOREGRESSIVE MODELS (2013, background): “How this is done is described in Tena and Tremayne (2009). First draw a history from the set of histories.”
• Exchange rate puzzles: A tale of switching attractors (2006, neutral): “The importance of transaction costs in the goods markets has also been confirmed empirically (Taylor, Peel, and Sarno(2001), Kilian and Taylor(2001)).”
• The Yen Real Exchange Rate may be Stationary After All: Evidence from Non-linear Unit-root Tests (2004, neutral): “There is also a fairly small (6) but growing literature on modelling exchange rates using non-linear models such as the TAR and STAR models (eg, Sarantis (1999), Baum et al (2001), Taylor et al (2001)).”