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
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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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
Journal: Journal of International Money and Finance - Volume 27, Issue 7, November 2008, Pages 1161–1176
نویسندگان
Aaron D. Smallwood,