Threshold stationary real exchange rates: a nonlinear, multivariate approach

Purchasing power parity implies that real exchange rates are stationary. However, the finding of nonstationary real exchange rates has been difficult to dismiss. Using a nonlinear, three-regime structural bivariate threshold model, this paper finds evidence of threshold stationary real exchange rates which is consistent with purchasing power parity adjusted for market frictions such as transaction costs.

MoreLess

Year of publication:	2003
Authors:	Shively, Philip
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 6.2003, 2, p. 1-11
Publisher:	AccessEcon

freely available

Full text |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	F3 - International Finance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005416983