Investigating the threshold effects of inflation on PPP

Economic Modelling

Volumn 22, Issue 5, 2005, Pages 926-948

  Ho, Tsung Wu ^a  

^a SHIH HSIN UNIVERSITY   (Taiwan)

Author keywords

Inflation; Nonlinearity; Partial unit root; PPP; Thresholds

Indexed keywords

EID: 24944454951     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2005.06.009     Document Type: Article

References (45)

1. Niso Abuaf Philippe Jorion Purchasing power parity in the long run Journal of Finance 45 1990 157-174
2. Bela Balassa The purchasing power parity doctrine: A reappraisal Journal of Political Economy 72 1964 584-596
3. C.F. Baum J.T. Barkoulas M. Caglayan Nonlinear adjustment to purchasing power parity in the post-Bretton Woods era Journal of International Money and Finance 20 2001 379-399
4. F. Bec M.B. Salem M. Carrasco Tests for unit-root versus threshold specification with an application to the PPP Working Paper 2001 University of Rochester
5. F. Bec M.B. Salem M. Carrasco The purchasing power parity puzzle: evidence from a LSTAR specification Working Paper 2002 University of Rochester
6. H.J. Bierens Testing the unit root hypothesis against nonlinear trend stationarity, with an application to the price level and interest rate in the U.S. Journal of Econometrics 81 1997 29-64
7. S.R. Blough The relationship between power and level for generic unit root tests in finite samples Journal of Applied Econometrics 7 1992 295-308
8. M. Caner B.E. Hansen Threshold autoregression with a unit root Econometrica 69 6 2001 1555-1596
9. L.L. Chen J. Devereux What can US city price data tell us about purchasing power parity? Journal of International Money and Finance 22 2003 213-222
10. G.E. Chortareas G. Kapetanios Y. Shin nonlinear mean reversion in real exchange rates Economics Letters 77 2002 411-417
11. T. Choudhry Purchasing power parity in high-inflation Eastern European countries: Evidence from fractional and Harris-Inder Cointegration tests Journal of Macroeconomics 21 1999 293-308
12. T. Choudhry R. McNown M. Wallace Purchasing power parity and the Canadian float in the 1950s Review of Economics and Statistics 73 1991 558-563
13. J.H. Cochrane A critique of the application of unit root tests Journal of Economic Dynamics and Control 15 1991 275-284
14. N. Davutyan J. Pipperger Purchasing power parity did not collapse during the 1970s American Economic Review 75 1985 1151-1158
15. R. Dornbusch Expectations and exchange rate dynamics Journal of Political Economy 84 1976 1161-1176
16. R. Dornbusch Purchasing power parity In: J. Eatwell M. Milgate P. Newman (Eds.) The New Palgrave Dictionary of Economics 1987 Macmillan London
17. B. Dumas Dynamic equilibrium and the real exchange rate in a spatially separated world Review of Financial Studies 5 1992 153-180
18. C. Engel Long-run PPP may not hold after all Journal of International Economics 57 2000 243-273
19. J. Frenkel A monetary approach to the exchange rate: Doctrinal aspects and empirical evidence Scandinavian Journal of Economics 78 1976 200-224
20. J. Frenkel Purchasing power parity: Doctrine perspective and evidence from the 1920s Journal of International Economics 8 1978 169-191
21. J. Frenkel Exchange rates, prices and money: Lessons from the 1920s American Economic Review 70 1980 235-242
22. K. Froot K. Rogoff Perspectives on PPP and long-run real exchange rates In: G. Grossman K. Rogoff (Eds.) Handbook of International Economics vol. 3 1995 North-Holland Amsterdam 1647-1688
23. F. Helmers The real exchange rate In: R. Dornbusch F. Helmers (Eds.) The Open Economy 1990 Oxford University Press NewYork
24. P. Isard How far can we push the 'law of one price'? American Economic Review 67 1977 942-948
25. G. Kapetanios Y. Shin A. Snell Testing for a unit root in the nonlinear STAR framework Journal of Econometrics 112 2003 359-379
26. P. Liu Purchasing power parity in Latin America: A cointegration analysis Weltwirtschaftliches Archiv 128 1992 662-680
27. Fritz Machlup International Payments, Debt and Gold 1964 Charles Scribner's Sons New York
28. S. Mahdave S. Zhou Purchasing power parity in high-inflation countries: further evidence Journal of Macroeconomics 16 1994 403-422
29. McCulloch, R.E., Tsay, R.S., 1993. Bayesian analysis of threshold autoregressive processes with a random number regimes. Tech. Rep., Statistics Research Center, Graduate School of Business, University of Chicago.
30. R. McNown M. Wallace National price levels, purchasing power parity, and cointegration: A test of four high inflation economies Journal of International Money and Finance 8 1989 533-545
31. P. Michael A.R. Norbay D.A. Peel Transaction costs and nonlinear adjustment in real exchange rates: An empirical investigation Journal of Political Economy 105 1997 862-879
32. M. Obstfeld A.M. Taylor Non-linear aspects of goods market arbitrage and adjustment: Heckscher's commodity points revisited Journal of the Japanese and International Economies 11 1997 441-479
33. P. O'Connell The overvaluation of purchasing power parity Journal of International Economics 44 1998 1-19
34. P. Perron The great crash, the oil price shock and the unit rot hypothesis Econometrica 57 1989 1361-1401
35. P. Perron Further evidence on breaking trend functions in macroeconomic variables Journal of Econometrics 80 1997 355-385
36. K. Phylastis Purchasing power parity and cointegration: The Greek evidence from 1920s Journal of International Money and Finance 11 1992 502-513
37. K. Rogoff The purchasing power parity puzzle Journal of Economic Literature 34 1996 647-668
38. N. Sarantis Modeling nonlinearities in real exchange rates Journal of International Money and Finance 18 1999 27-45
39. M.P. Taylor P. McMahon Long-run purchasing power parity in the 1920s European Economic Review 32 1988 179-197
40. H. Tong On a threshold model In: C.H. Chen (Ed.) Pattern Recognition and Signal Processing 1987 Sijthoff and Noordhoff Amsterdam
41. H. Tong K.S. Lim Threshold autoregression, limit cycles and cyclical data (with discussion) Journal of the Royal Statistical Society. Series B 42 1980 245-292
42. R.S. Tsay Testing and modeling threshold autoregressive process Journal of the American Statistical Association 84 1989 231-240
43. R. Uppal A general equilibrium model of international portfolio choice Journal of Finance 48 1993 529-553
44. Z. Xu Purchasing power parity, price indices, and exchange rate forecasts Journal of International Money and Finance 22 2003 105-130
45. Su Zhou Purchasing power parity in high-inflation countries: A cointegration analysis of integrated variables with trend breaks Southern Economic Journal 64 1997 450-467