-
1
-
-
84944835541
-
Deviations from purchasing power parity in the long run
-
Adler M, Lehmann B (1983) Deviations from purchasing power parity in the long run. J Finance 38:1471-1487.
-
(1983)
J Finance
, vol.38
, pp. 1471-1487
-
-
Adler, M.1
Lehmann, B.2
-
3
-
-
10944256673
-
Testing for PPP: The erratic behaviour of unit root tests
-
Caporale GM, Pittis N, Sakellis P (2003) Testing for PPP: the erratic behaviour of unit root tests. Econ Lett 80:277-284.
-
(2003)
Econ Lett
, vol.80
, pp. 277-284
-
-
Caporale, G.M.1
Pittis, N.2
Sakellis, P.3
-
4
-
-
0036241667
-
Real and monetary shocks to the Canadian dollar: Do Canada and the United States form an optimal currency area?
-
Carr JL, Floyd JE (2002) Real and monetary shocks to the Canadian dollar: do Canada and the United States form an optimal currency area? N Am J Econ Finance 13:21-39.
-
(2002)
N Am J Econ Finance
, vol.13
, pp. 21-39
-
-
Carr, J.L.1
Floyd, J.E.2
-
5
-
-
0842295061
-
Asymptotics for unit roots under Markov regime-switching
-
Cavaliere G (2003) Asymptotics for unit roots under Markov regime-switching. Econom J 6(1):193-216.
-
(2003)
Econom J
, vol.6
, Issue.1
, pp. 193-216
-
-
Cavaliere, G.1
-
6
-
-
4444302560
-
The behaviour of relative prices in the European Union: A sectoral analysis
-
Chen N (2004) The behaviour of relative prices in the European Union: a sectoral analysis. Eur Econ Rev 48:1257-1286.
-
(2004)
Eur Econ Rev
, vol.48
, pp. 1257-1286
-
-
Chen, N.1
-
7
-
-
84916518539
-
A fractional cointegration analysis of purchasing power parity
-
Cheung YW, Lai KS (1993) A fractional cointegration analysis of purchasing power parity. J Bus Econ Stat 11:103-112.
-
(1993)
J Bus Econ Stat
, vol.11
, pp. 103-112
-
-
Cheung, Y.W.1
Lai, K.S.2
-
8
-
-
12144256714
-
Dissecting the PPP puzzle: The unconventional roles of nominal exchange rate and price adjustments
-
Cheung Y-W, Lai KS, Bergman M (2004) Dissecting the PPP puzzle: the unconventional roles of nominal exchange rate and price adjustments. J Int Econ 64:135-150.
-
(2004)
J Int Econ
, vol.64
, pp. 135-150
-
-
Cheung, Y.-W.1
Lai, K.S.2
Bergman, M.3
-
9
-
-
0036828678
-
Nonlinear mean reversion in real exchange rates
-
Chortareas GE, Kapetanios G, Shin Y (2002) Nonlinear mean reversion in real exchange rates. Econ Lett 77:411-417.
-
(2002)
Econ Lett
, vol.77
, pp. 411-417
-
-
Chortareas, G.E.1
Kapetanios, G.2
Shin, Y.3
-
10
-
-
43949155590
-
Sources of real exchange rate fluctuations: How important are nominal shocks?
-
Clarida R, Gali J (1994) Sources of real exchange rate fluctuations: how important are nominal shocks? Carnegie-Rochester Conf Ser Public Policy 41:1-56.
-
(1994)
Carnegie-Rochester Conf Ser Public Policy
, vol.41
, pp. 1-56
-
-
Clarida, R.1
Gali, J.2
-
11
-
-
0141711421
-
Bounds tests of the theory of purchasing power parity
-
Coe PJ, Serletis A (2002) Bounds tests of the theory of purchasing power parity. J Bank Financ 26:179-199.
-
(2002)
J Bank Financ
, vol.26
, pp. 179-199
-
-
Coe, P.J.1
Serletis, A.2
-
12
-
-
84984434577
-
A test of long-run purchasing power parity allowing for structural breaks
-
Corbae D, Ouliaris S (1991) A test of long-run purchasing power parity allowing for structural breaks. Econ Rec 67:26-33.
-
(1991)
Econ Rec
, vol.67
, pp. 26-33
-
-
Corbae, D.1
Ouliaris, S.2
-
14
-
-
24944532669
-
Hypothesis testing when the nuisance parameter is present only under the alternative
-
Davies RB (1987) Hypothesis testing when the nuisance parameter is present only under the alternative. Biometrika 74:33-43.
-
(1987)
Biometrika
, vol.74
, pp. 33-43
-
-
Davies, R.B.1
-
15
-
-
0030525022
-
Exchange rate mean reversion from real shocks within an intertemporal model
-
Davis G, Miller NC (1996) Exchange rate mean reversion from real shocks within an intertemporal model. J Int Money Financ 15:947-967.
-
(1996)
J Int Money Financ
, vol.15
, pp. 947-967
-
-
Davis, G.1
Miller, N.C.2
-
16
-
-
0002361162
-
Regime switching with time-varying transition probabilities
-
C. Hargreaves (Ed.), Oxford: Oxford University Press
-
Diebold FX, Lee J-H, Weinbach G (1994) Regime switching with time-varying transition probabilities. In: Hargreaves C (ed) Nonstationary time series analysis and cointegration. Oxford University Press, Oxford, pp 283-302.
-
(1994)
Nonstationary Time Series Analysis and Cointegration
, pp. 283-302
-
-
Diebold, F.X.1
Lee, J.-H.2
Weinbach, G.3
-
17
-
-
0000852872
-
Expectations and exchange rate dynamics
-
Dornsbusch R (1976) Expectations and exchange rate dynamics. J Polit Econ 84(6):1161-1176.
-
(1976)
J Polit Econ
, vol.84
, Issue.6
, pp. 1161-1176
-
-
Dornsbusch, R.1
-
18
-
-
0000522890
-
Dynamic equilibrium and the real exchange rate in a spatially separated world
-
Dumas B (1992) Dynamic equilibrium and the real exchange rate in a spatially separated world. Rev Financ Stud 5(2):153-180.
-
(1992)
Rev Financ Stud
, vol.5
, Issue.2
, pp. 153-180
-
-
Dumas, B.1
-
19
-
-
0001239257
-
Purchasing power parity in the long-run: A test of the dollar/pound exchange rate (1890-1978)
-
Edison HJ (1987) Purchasing power parity in the long-run: a test of the dollar/pound exchange rate (1890-1978). J Money Credit Bank 19(3):376-387.
-
(1987)
J Money Credit Bank
, vol.19
, Issue.3
, pp. 376-387
-
-
Edison, H.J.1
-
20
-
-
0039519993
-
Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution
-
Elliott G (1999) Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution. Int Econ Rev 40:767-783.
-
(1999)
Int Econ Rev
, vol.40
, pp. 767-783
-
-
Elliott, G.1
-
21
-
-
0030356207
-
Efficient tests for an autoregressive unit root
-
Elliott G, Rothenberg T, Stock JH (1996) Efficient tests for an autoregressive unit root. Econometrica 64:813-836.
-
(1996)
Econometrica
, vol.64
, pp. 813-836
-
-
Elliott, G.1
Rothenberg, T.2
Stock, J.H.3
-
22
-
-
1842661900
-
The long-run US/UK real exchange rate
-
Engel C, Kim CJ (2001) The long-run US/UK real exchange rate. J Money Credit Bank 31(3):335-356.
-
(2001)
J Money Credit Bank
, vol.31
, Issue.3
, pp. 335-356
-
-
Engel, C.1
Kim, C.J.2
-
23
-
-
0034806443
-
Deviations from purchasing power parity: Causes and welfare costs
-
Engel C, Rogers JH (2001) Deviations from purchasing power parity: causes and welfare costs. J Int Econ 55:29-57.
-
(2001)
J Int Econ
, vol.55
, pp. 29-57
-
-
Engel, C.1
Rogers, J.H.2
-
24
-
-
84952252413
-
Business cycles phases and their transitional dynamics
-
Filardo A (1994) Business cycles phases and their transitional dynamics. J Bus Econ Stat 12:299-308.
-
(1994)
J Bus Econ Stat
, vol.12
, pp. 299-308
-
-
Filardo, A.1
-
25
-
-
0000634137
-
A monetary approach to the exchange rate: Doctrinal aspects and empirical evidence
-
Frenkel J (1976) A monetary approach to the exchange rate: doctrinal aspects and empirical evidence. Scand J Econ 78:255-276.
-
(1976)
Scand J Econ
, vol.78
, pp. 255-276
-
-
Frenkel, J.1
-
27
-
-
0001573673
-
Purchasing power parity under fixed and flexible exchange rates
-
Genberg H (1978) Purchasing power parity under fixed and flexible exchange rates. J Int Econ 8(2):247-276.
-
(1978)
J Int Econ
, vol.8
, Issue.2
, pp. 247-276
-
-
Genberg, H.1
-
28
-
-
41549156304
-
Exchange rates and traded goods prices
-
Giovannini A (1988) Exchange rates and traded goods prices. J Int Econ 24:45-68.
-
(1988)
J Int Econ
, vol.24
, pp. 45-68
-
-
Giovannini, A.1
-
29
-
-
0000570969
-
Real exchange rates in the short-run, medium, and long run
-
Glen JD (1992) Real exchange rates in the short-run, medium, and long run. J Int Econ 33(1-2):147-166.
-
(1992)
J Int Econ
, vol.33
, Issue.1-2
, pp. 147-166
-
-
Glen, J.D.1
-
30
-
-
33645749611
-
-
Working Paper, October, Fordham University
-
Goswami G, Shrikhande M, Wu L (2004) A dynamic equilibrium model of real exchange rates with general transaction costs. Working Paper, October, Fordham University, 1-28.
-
(2004)
A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs
, pp. 1-28
-
-
Goswami, G.1
Shrikhande, M.2
Wu, L.3
-
31
-
-
0002705913
-
An introduction to stochastic unit-root processes
-
Granger CWJ, Swanson NR (1997) An introduction to stochastic unit-root processes. J Econ 80:35-62.
-
(1997)
J Econ
, vol.80
, pp. 35-62
-
-
Granger, C.W.J.1
Swanson, N.R.2
-
32
-
-
44949280178
-
Nominal exchange rate regimes and the real exchange rate
-
Grilli V, Kaminsky G (1991) Nominal exchange rate regimes and the real exchange rate. J Monet Econ 27:191-212.
-
(1991)
J Monet Econ
, vol.27
, pp. 191-212
-
-
Grilli, V.1
Kaminsky, G.2
-
33
-
-
84864410847
-
Testing for a unit root in time series with pretest data-based model selection
-
Hall A (1994) Testing for a unit root in time series with pretest data-based model selection. J Bus Econ Stat 12:461-470.
-
(1994)
J Bus Econ Stat
, vol.12
, pp. 461-470
-
-
Hall, A.1
-
34
-
-
0033440007
-
Detecting periodically collapsing bubbles: A Markov-switching unit root test
-
Hall S, Psaradakis Z, Sola M (1997) Detecting periodically collapsing bubbles: a Markov-switching unit root test. J Appl Econ 14:143-154.
-
(1997)
J Appl Econ
, vol.14
, pp. 143-154
-
-
Hall, S.1
Psaradakis, Z.2
Sola, M.3
-
36
-
-
67349222137
-
-
Working Paper, November, Department of Economics, Lund University
-
Johansson M (2001) TAR models and real exchange rates. Working Paper, November, Department of Economics, Lund University, 1-16.
-
(2001)
TAR Models and Real Exchange Rates
, pp. 1-16
-
-
Johansson, M.1
-
37
-
-
18744381852
-
Regime (non)stationarity in the US/UK real exchange rate
-
Kanas A, Genius M (2005) Regime (non)stationarity in the US/UK real exchange rate. Econ Lett 87(3):407-413.
-
(2005)
Econ Lett
, vol.87
, Issue.3
, pp. 407-413
-
-
Kanas, A.1
Genius, M.2
-
38
-
-
0000061757
-
International comparisons of pricing to market behavior
-
Knetter M (1993) International comparisons of pricing to market behavior. Am Econ Rev 83:473-486.
-
(1993)
Am Econ Rev
, vol.83
, pp. 473-486
-
-
Knetter, M.1
-
39
-
-
0030507890
-
Can economic time series be differenced to stationarity?
-
Leybourne SJ, McCabe BPM, Tremayne AR (1996) Can economic time series be differenced to stationarity? J Bus Econ Stat 14(4):435-446.
-
(1996)
J Bus Econ Stat
, vol.14
, Issue.4
, pp. 435-446
-
-
Leybourne, S.J.1
McCabe, B.P.M.2
Tremayne, A.R.3
-
40
-
-
51249167005
-
Purchasing power parity in Latin America: A cointegration analysis
-
Liu PC (1992) Purchasing power parity in Latin America: a cointegration analysis. Weltwirtsch Arch 128:66-79.
-
(1992)
Weltwirtsch Arch
, vol.128
, pp. 66-79
-
-
Liu, P.C.1
-
41
-
-
18144430623
-
State of the art unit root tests and purchasing power parity
-
Lopez C, Murray C, Papell D (2005) State of the art unit root tests and purchasing power parity. J Money Credit Bank 37:361-369.
-
(2005)
J Money Credit Bank
, vol.37
, pp. 361-369
-
-
Lopez, C.1
Murray, C.2
Papell, D.3
-
42
-
-
0030480824
-
Real exchange rate behaviour: The recent float from the perspective of the past two centuries
-
Lothian JR, Taylor MP (1996) Real exchange rate behaviour: the recent float from the perspective of the past two centuries. J Polit Econ 104:488-510.
-
(1996)
J Polit Econ
, vol.104
, pp. 488-510
-
-
Lothian, J.R.1
Taylor, M.P.2
-
43
-
-
0031540975
-
Real exchange rate behaviour: The problem of power and sample size
-
Lothian JR, Taylor MP (1997) Real exchange rate behaviour: the problem of power and sample size. J Int Money Financ 16:945-954.
-
(1997)
J Int Money Financ
, vol.16
, pp. 945-954
-
-
Lothian, J.R.1
Taylor, M.P.2
-
44
-
-
0000105879
-
Pricing to market in Japanese manufacturing
-
Marston R (1990) Pricing to market in Japanese manufacturing. J Int Econ 29:217-236.
-
(1990)
J Int Econ
, vol.29
, pp. 217-236
-
-
Marston, R.1
-
45
-
-
38249006465
-
National price levels, purchasing power parity, and cointegration: A test of four high inflation countries
-
McNown R, Wallace MS (1989) National price levels, purchasing power parity, and cointegration: a test of four high inflation countries. J Int Money Financ 8:533-545.
-
(1989)
J Int Money Financ
, vol.8
, pp. 533-545
-
-
McNown, R.1
Wallace, M.S.2
-
46
-
-
21844489869
-
Cointegration tests of the monetary exchange rate model for high-inflation economies
-
McNown R, Wallace MS (1994) Cointegration tests of the monetary exchange rate model for high-inflation economies. J Money Credit Bank 26:396-411.
-
(1994)
J Money Credit Bank
, vol.26
, pp. 396-411
-
-
McNown, R.1
Wallace, M.S.2
-
47
-
-
84977732024
-
Was it real? The exchange rate-interest differential relation over the modern floating-rate period
-
Meese R, Rogoff K (1988) Was it real? The exchange rate-interest differential relation over the modern floating-rate period. J Finance 43(4):933-948.
-
(1988)
J Finance
, vol.43
, Issue.4
, pp. 933-948
-
-
Meese, R.1
Rogoff, K.2
-
49
-
-
0000017295
-
Transaction costs and nonlinear adjustment in real exchange rates: An empirical investigation
-
Michael P, Nobay R, Peel DA (1997) Transaction costs and nonlinear adjustment in real exchange rates: an empirical investigation. J Polit Econ 105:862-879.
-
(1997)
J Polit Econ
, vol.105
, pp. 862-879
-
-
Michael, P.1
Nobay, R.2
Peel, D.A.3
-
50
-
-
0037401090
-
Is there a relationship between real exchange rate movements and the output cycle?
-
Mills T, Pentecost E (2003) Is there a relationship between real exchange rate movements and the output cycle? Econ Model 20:593-603.
-
(2003)
Econ Model
, vol.20
, pp. 593-603
-
-
Mills, T.1
Pentecost, E.2
-
52
-
-
30244540917
-
Estimation and inference in nearly unbalanced nearly cointegrated systems
-
Ng S, Perron P (1997) Estimation and inference in nearly unbalanced nearly cointegrated systems. J Econ 79:53-81.
-
(1997)
J Econ
, vol.79
, pp. 53-81
-
-
Ng, S.1
Perron, P.2
-
53
-
-
84981566396
-
A note on the empirical power of unit root tests under threshold processes
-
Pippenger M, Goering G (1993) A note on the empirical power of unit root tests under threshold processes. Oxf Bull Econ Stat 55(4):473-481.
-
(1993)
Oxf Bull Econ Stat
, vol.55
, Issue.4
, pp. 473-481
-
-
Pippenger, M.1
Goering, G.2
-
55
-
-
0033372468
-
Monetary shocks and real exchange rates
-
Rogers JH (1999) Monetary shocks and real exchange rates. J Int Econ 49:269-288.
-
(1999)
J Int Econ
, vol.49
, pp. 269-288
-
-
Rogers, J.H.1
-
57
-
-
3042603115
-
Long-horizon regression tests of the theory of purchasing power parity
-
Serletis A, Gogas P (2004) Long-horizon regression tests of the theory of purchasing power parity. J Bank Financ 28:1961-1985.
-
(2004)
J Bank Financ
, vol.28
, pp. 1961-1985
-
-
Serletis, A.1
Gogas, P.2
-
58
-
-
0031481058
-
Breaking trend functions in real exchange rates: Evidence from seventeen OECD countries
-
Serletis A, Zimonopoulos G (1997) Breaking trend functions in real exchange rates: evidence from seventeen OECD countries. J Macroecon 19:781-802.
-
(1997)
J Macroecon
, vol.19
, pp. 781-802
-
-
Serletis, A.1
Zimonopoulos, G.2
-
59
-
-
0036679355
-
Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates
-
Sollis R, Leybourne S, Newbold P (2002) Tests for symmetric and asymmetric nonlinear mean reversion in real exchange rates. J Money Credit Bank 34:686-700.
-
(2002)
J Money Credit Bank
, vol.34
, pp. 686-700
-
-
Sollis, R.1
Leybourne, S.2
Newbold, P.3
-
60
-
-
0036005230
-
A century of purchasing power parity
-
Taylor AM (2002) A century of purchasing power parity. Rev Econ Stat 84:139-150.
-
(2002)
Rev Econ Stat
, vol.84
, pp. 139-150
-
-
Taylor, A.M.1
-
61
-
-
0003045718
-
Nonlinear mean-reversion in real exchange rates: Towards a solution to the purchasing power parity puzzles
-
Taylor MP, Peel DA, Sarno L (2001) Nonlinear mean-reversion in real exchange rates: towards a solution to the purchasing power parity puzzles. Int Econ Rev 42:1015-1042.
-
(2001)
Int Econ Rev
, vol.42
, pp. 1015-1042
-
-
Taylor, M.P.1
Peel, D.A.2
Sarno, L.3
-
63
-
-
0031539633
-
Sources of purchasing power parity disparities between the G7 economies
-
Weber A (1997) Sources of purchasing power parity disparities between the G7 economies. J Jpn Int Econ 11:548-583.
-
(1997)
J Jpn Int Econ
, vol.11
, pp. 548-583
-
-
Weber, A.1
|