Bec, Frédérique; Rahbek, Anders; Salem, Mélika Ben - In: Economics Bulletin 6 (2008) 39, pp. 1-6
The goal of this paper is to disentangle the respective contributions of the nominal exchange rate and the price differential to the adjustment towards the Purchasing Power Parity relation. To this end, we estimate a multivariate threshold vector equilibrium correction model, whose dynamics is...
