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Purchasing power parity and nonlinear adjustment

Author

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  • J. V. Perez-Rodriguez
  • F. Ledesma-Rodriguez
  • S. Torra-Porras

Abstract

In this article we study the out-of-sample real exchange rate forecasts of an Artificial Neural Network model, an AR model and a random walk model. The results confirm the relevance of nonlinear adjustment in the dynamics of the real exchange rate.

Suggested Citation

  • J. V. Perez-Rodriguez & F. Ledesma-Rodriguez & S. Torra-Porras, 2009. "Purchasing power parity and nonlinear adjustment," Applied Economics Letters, Taylor & Francis Journals, vol. 16(1), pages 35-38.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:1:p:35-38
    DOI: 10.1080/13504850701719645
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    Cited by:

    1. Oscar Claveria & Enric Monte & Salvador Torra, 2015. "“Self-organizing map analysis of agents' expectations. Different patterns of anticipation of the 2008 financial crisis”," IREA Working Papers 201511, University of Barcelona, Research Institute of Applied Economics, revised Mar 2015.
    2. Frederick Wallace, 2011. "Purchasing power parity in Mexico: a historical note," Applied Economics Letters, Taylor & Francis Journals, vol. 18(4), pages 349-352.

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