We study the intranational purchasing power parity (PPP) between 17 pairs of Canadian cities for the period 1984–2010, using multivariate tests of threshold cointegration in a threshold vector error correction model. Our results confirm the existence of cointegration with threshold symmetric...

In this paper we develop a multivariate threshold vector error correction model of spot and forward exchange rates that allows for different forms of equilibrium reversion in each of the cointegrating residual series. By introducing the notion of an indicator matrix to differentiate between the...