کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964355 | 930513 | 2010 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Investigating nonlinearities in real exchange rate adjustment: Threshold cointegration and the dynamics of exchange rates and relative prices
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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
Motivated by growing evidence of nonlinear mean-reverting behavior in real exchange rates, this paper investigates the underlying dynamics in the context of a threshold vector error correction model (TVECM) of nominal exchange rate and relative prices. Unlike univariate models, our nonlinear multivariate framework takes into explicit account the joint behavior and individual dynamics of the nominal exchange rate and relative prices when these two key variables are threshold cointegrated. Our empirical application unravels their relative contribution to mean reversion and underscores the importance of capturing their interactions in investigating the nonlinear adjustment toward purchasing power parity.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 29, Issue 5, September 2010, Pages 770–790
Journal: Journal of International Money and Finance - Volume 29, Issue 5, September 2010, Pages 770–790
نویسندگان
Hironobu Nakagawa,