Purchasing power parity vs. uncovered interest rate parity for NAFTA countries: The value of incorporating time-varying parameter model
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DOI: 10.1016/j.econmod.2019.11.034
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Cited by:
- Choi, Yoonho & Choi, E. Kwan, 2022. "Why exchange rate pass-through matters in forward exchange markets," Economic Modelling, Elsevier, vol. 110(C).
- Bhatta, Guna Raj & Nepal, Rabindra & Harvie, Charles & Jayanthakumaran, Kankesu, 2022.
"Testing for the uncovered interest parity condition in a small open economy: A state space modelling approach,"
Journal of Asian Economics, Elsevier, vol. 82(C).
- Guna Raj Bhatta & Rabindra Nepal & Charles Harvie & Kankesu Jayanthakumaran, 2021. "Testing for uncovered interest parity conditions in a small open economy: A state space modelling approach," CAMA Working Papers 2021-56, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Bonga-Bonga, Lumengo, 2023. "Do trade frictions distort the purchasing power parity (PPP) hypothesis? A closer look," MPRA Paper 119196, University Library of Munich, Germany.
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More about this item
Keywords
Purchasing power parity; Exchange rate determination; A time-varying cointegration model; A time-invariant cointegration model;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
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