메뉴 건너뛰기




Volumn 71, Issue 2, 2004, Pages 302-313

Nonlinear purchasing power parity under the Gold Standard

Author keywords

[No Author keywords available]

Indexed keywords


EID: 8344261538     PISSN: 00384038     EISSN: None     Source Type: Journal    
DOI: 10.2307/4135293     Document Type: Article
Times cited : (18)

References (33)
  • 2
    • 0346906789 scopus 로고    scopus 로고
    • Estimation and testing linear models with multiple structural changes
    • Bai, Jushan, and Pierre Perron. 1998. Estimation and testing linear models with multiple structural changes. Econometrica 66:47-78.
    • (1998) Econometrica , vol.66 , pp. 47-78
    • Bai, J.1    Perron, P.2
  • 3
    • 0001399205 scopus 로고
    • The purchasing-power parity doctrine: A reappraisal
    • Balassa, Bela. 1964. The purchasing-power parity doctrine: A reappraisal. Journal of Political Economy 72:584-96.
    • (1964) Journal of Political Economy , vol.72 , pp. 584-596
    • Balassa, B.1
  • 5
    • 0037439535 scopus 로고    scopus 로고
    • A nonlinear time series with misleading linear properties
    • Byers, David, and David A. Peel. 2003. A nonlinear time series with misleading linear properties. Applied Economics Letters 10:47-51.
    • (2003) Applied Economics Letters , vol.10 , pp. 47-51
    • Byers, D.1    Peel, D.A.2
  • 6
    • 0033067796 scopus 로고    scopus 로고
    • Relative labor productivity and the real exchange rate in the long run: Evidence for a panel of OECD countries
    • Canzoneri, Matthew B., Robert E. Cumby, and Behzad T. Diba. 1996. Relative labor productivity and the real exchange rate in the long run: Evidence for a panel of OECD countries. Journal of International Economics 47:245-66.
    • (1996) Journal of International Economics , vol.47 , pp. 245-266
    • Canzoneri, M.B.1    Cumby, R.E.2    Diba, B.T.3
  • 10
    • 0000522890 scopus 로고
    • Dynamic equilibrium and the real exchange rate in a spatially separated world
    • Dumas, Bernard. 1992. Dynamic equilibrium and the real exchange rate in a spatially separated world. Review of Financial Studies 5:153-80.
    • (1992) Review of Financial Studies , vol.5 , pp. 153-180
    • Dumas, B.1
  • 11
    • 0002158185 scopus 로고    scopus 로고
    • Testing the adequacy of smooth transition autoregressive models
    • Eitrheim, Oyvind, and Timo Terasvirta. 1996. Testing the adequacy of smooth transition autoregressive models. Journal of Econometrics 74:59-75.
    • (1996) Journal of Econometrics , vol.74 , pp. 59-75
    • Eitrheim, O.1    Terasvirta, T.2
  • 12
    • 77957239083 scopus 로고
    • Perspectives on PPP and long-run real exchange rates
    • edited by G.M. Grossman and K. Rogoff. Amsterdam: North-Holland
    • Froot, Kenneth A., and Kenneth Rogoff. 1995. Perspectives on PPP and long-run real exchange rates. In Handbook of international economics. Volume 3, edited by G.M. Grossman and K. Rogoff. Amsterdam: North-Holland, pp. 1647-87.
    • (1995) Handbook of International Economics , vol.3 , pp. 1647-1687
    • Froot, K.A.1    Rogoff, K.2
  • 14
    • 0036055645 scopus 로고    scopus 로고
    • Purchasing power parity under the Gold Standard
    • Hegwood, Natalie D., and David H. Papell. 2002. Purchasing power parity under the Gold Standard. Southern Economic Journal 69:72-91.
    • (2002) Southern Economic Journal , vol.69 , pp. 72-91
    • Hegwood, N.D.1    Papell, D.H.2
  • 15
    • 0001353625 scopus 로고    scopus 로고
    • Impulse response analysis in nonlinear multivariate models
    • Koop, Gary, Hashem Pesaran, and Simon M. Potter. 1996. Impulse response analysis in nonlinear multivariate models. Journal of Econometrics 74:119-41.
    • (1996) Journal of Econometrics , vol.74 , pp. 119-141
    • Koop, G.1    Pesaran, H.2    Potter, S.M.3
  • 16
    • 0030480824 scopus 로고    scopus 로고
    • Real exchange rate behavior: The recent float from the perspective of the past two centuries
    • Lothian, James R., and Mark P. Taylor. 1996. Real exchange rate behavior: The recent float from the perspective of the past two centuries. Journal of Political Economy 104:488-507.
    • (1996) Journal of Political Economy , vol.104 , pp. 488-507
    • Lothian, J.R.1    Taylor, M.P.2
  • 17
    • 0000017295 scopus 로고    scopus 로고
    • Transactions costs and nonlinear adjustment in real exchange rates: An empirical investigation
    • Michael, Panos, Robert Nobay, and David A. Peel. 1997. Transactions costs and nonlinear adjustment in real exchange rates: An empirical investigation. Journal of Political Economy 105:862-79.
    • (1997) Journal of Political Economy , vol.105 , pp. 862-879
    • Michael, P.1    Nobay, R.2    Peel, D.A.3
  • 18
    • 0000706085 scopus 로고
    • A simple positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix
    • Newey, Whitney, and Kenneth West. 1987. A simple positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix. Econometrica 55:703-8.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 20
    • 70350303608 scopus 로고
    • Nonlinear time series models and dynamical systems
    • edited by E.J. Hannan, P.R. Krishnaiah, and M.M. Rao. Amsterdam: Elsevier
    • Ozaki, Tohru. 1985. Nonlinear time series models and dynamical systems. In Handbook of statistics V, edited by E.J. Hannan, P.R. Krishnaiah, and M.M. Rao. Amsterdam: Elsevier, pp. 25-83.
    • (1985) Handbook of Statistics V , pp. 25-83
    • Ozaki, T.1
  • 22
    • 0042071346 scopus 로고    scopus 로고
    • Further evidence on PPP adjusment speeds: The case of effective real exchange rates and the EMS
    • Paya, Ivan, Ioannis A. Venetis, and David A. Peel. 2003. Further evidence on PPP adjusment speeds: The case of effective real exchange rates and the EMS. Oxford Bulletin of Economics and Statistics 65:421-38.
    • (2003) Oxford Bulletin of Economics and Statistics , vol.65 , pp. 421-438
    • Paya, I.1    Venetis, I.A.2    Peel, D.A.3
  • 23
    • 0037513453 scopus 로고    scopus 로고
    • Purchasing power parity over two centuries: Trends and non-linearity
    • Peel, David A., and Ioannis A. Venetis. 2002. Purchasing power parity over two centuries: Trends and non-linearity. Applied Economics 35:609-17.
    • (2002) Applied Economics , vol.35 , pp. 609-617
    • Peel, D.A.1    Venetis, I.A.2
  • 24
    • 33646790699 scopus 로고
    • Nonstationarity and level shifts with an application to purchasing power parity
    • Perron, Pierre, and Timothy J. Vogelsang. 1992. Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business and Economic Statistics 10:301-20.
    • (1992) Journal of Business and Economic Statistics , vol.10 , pp. 301-320
    • Perron, P.1    Vogelsang, T.J.2
  • 25
    • 84981566396 scopus 로고
    • A note on the empirical power of unit root tests under threshold processes
    • Pippenger, Michael K., and Gregory Goering. 1993. A note on the empirical power of unit root tests under threshold processes. Oxford Bulletin of Economics and Statistics 55:473-81.
    • (1993) Oxford Bulletin of Economics and Statistics , vol.55 , pp. 473-481
    • Pippenger, M.K.1    Goering, G.2
  • 26
    • 0000786475 scopus 로고    scopus 로고
    • The purchasing power parity puzzle
    • Rogoff, Kenneth. 1996. The purchasing power parity puzzle. Journal of Economic Literature 34:647-68.
    • (1996) Journal of Economic Literature , vol.34 , pp. 647-668
    • Rogoff, K.1
  • 28
    • 84993915037 scopus 로고
    • The exchange rate in the presence of transactions costs: Implications for tests of purchasing power parity
    • Sercu, Piet, Raman Uppal, and C. Van Hull. 1995. The exchange rate in the presence of transactions costs: Implications for tests of purchasing power parity. Journal of Finance 50:1309-19.
    • (1995) Journal of Finance , vol.50 , pp. 1309-1319
    • Sercu, P.1    Uppal, R.2    Van Hull, C.3
  • 29
    • 0001436323 scopus 로고    scopus 로고
    • Potential pitfalls for the purchasing power parity puzzle? Sampling and specification biases in mean-reversion tests of the law of one price
    • Taylor, Alan M. 2001. Potential pitfalls for the purchasing power parity puzzle? Sampling and specification biases in mean-reversion tests of the law of one price. Econometrica 69:473-98.
    • (2001) Econometrica , vol.69 , pp. 473-498
    • Taylor, A.M.1
  • 30
    • 0003045718 scopus 로고    scopus 로고
    • Nonlinear mean-reversion in real exchange rates: Toward a solution to the purchasing power parity puzzles
    • Taylor, Mark P., David A. Peel, and Lucio Sarno. 2001. Nonlinear mean-reversion in real exchange rates: Toward a solution to the purchasing power parity puzzles. International Economic Review 42:1015-42.
    • (2001) International Economic Review , vol.42 , pp. 1015-1042
    • Taylor, M.P.1    Peel, D.A.2    Sarno, L.3
  • 31
    • 84923053681 scopus 로고
    • Specification, estimation and evaluation of smooth transition autoregressive models
    • Terasvirta, Timo. 1994. Specification, estimation and evaluation of smooth transition autoregressive models. Journal of the American Statistical Association 89:208-18.
    • (1994) Journal of the American Statistical Association , vol.89 , pp. 208-218
    • Terasvirta, T.1
  • 32
    • 0005852007 scopus 로고    scopus 로고
    • Index arbitrage with heterogeneous investors: A smooth transition error correction analysis
    • Tse, Yi. 2001. Index arbitrage with heterogeneous investors: A smooth transition error correction analysis. Journal of Banking and Finance 25:1829-55.
    • (2001) Journal of Banking and Finance , vol.25 , pp. 1829-1855
    • Tse, Y.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.