Are real exchange rates nonlinear with a unit root? Evidence on PPP for Italy: a note

In this article, we apply the recently developed threshold autoregression model to examine both linearity and stationarity of Italy's real exchange rate vis-a-vis her six trading partner (G6) countries. Our main finding is that Italy's real exchange rate is a nonlinear process that is not characterized by a unit root process for five of six trading partner countries. This provides strong support for purchasing power parity.

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Year of publication:	2007
Authors:	Narayan, Paresh Kumar ; Narayan, Seema
Published in:	Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 39.2007, 19, p. 2483-2488
Publisher:	Taylor & Francis Journals

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005511337