Juvenal, Luciana; Taylor, Mark P. - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 3, pp. 1520-1520
Using self-exciting threshold autoregressive models, we explore the validity of the law of one price (LOOP) for sixteen sectors in nine European countries. We find strong evidence of nonlinear mean reversion in deviations from the LOOP and highlight the importance of modelling the real exchange...