کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964326 930507 2008 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Measuring the persistence of deviations from purchasing power parity with a fractionally integrated STAR model
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Measuring the persistence of deviations from purchasing power parity with a fractionally integrated STAR model
چکیده انگلیسی

Empirically, elements of both fractional long memory and threshold non-linearity are present in the real exchange rates of the G-7 countries against the US, notably in the EU countries. Estimated half lives of deviations from PPP using median unbiased corrections to conventional linear autoregressive models corroborate existing evidence related to the PPP paradox as half lives range from at least four years to an infinite number of years. In contrast, for each EU country, accounting for threshold non-linearity results in estimated half lives that can be less than three years even with the allowance for fractional long memory.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 27, Issue 7, November 2008, Pages 1161–1176
نویسندگان
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