My bibliography
Save this item
Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Mohsen Bahmani-Oskooee & Tsangyao Chang & Kuei-Chiu Lee, 2016. "Panel asymmetric nonlinear unit root test and PPP in Africa," Applied Economics Letters, Taylor & Francis Journals, vol. 23(8), pages 554-558, May.
- McMillan, David G., 2009. "The confusing time-series behaviour of real exchange rates: Are asymmetries important?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 692-711, October.
- Lingaraj Mallick & Smruti Ranjan Behera & Mita Bhattacharya, 2024. "Impact of Exchange Rate on Trade Balance of India: Evidence from Threshold Cointegration with Asymmetric Error Correction Approach," Foreign Trade Review, , vol. 59(2), pages 279-308, May.
- Tolga Omay & Furkan Emirmahmutoğlu, 2017. "The Comparison of Power and Optimization Algorithms on Unit Root Testing with Smooth Transition," Computational Economics, Springer;Society for Computational Economics, vol. 49(4), pages 623-651, April.
- Sadiye Baykara & Erdinç Telatar, 2012. "The Stationarity Of Consumption-Income Ratios With Nonlinear And Asymmetric Unit Root Tests: Evidence From Fourteen Transition Economies," Hacettepe University Department of Economics Working Papers 20129, Hacettepe University, Department of Economics.
- Tsangyao Chang & Hsu-Ling Chang & Ken Hung & Chi-Wei Su, 2012. "Nonlinear adjustment to purchasing power parity for Germany's real exchange rate relative to its major trading partners," Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 197-202, February.
- Mario Cerrato & Nick Sarantis, 2006. "Nonlinear Mean Reversion in Real Exchange Rates: Evidence from Developing and Emerging Market Economies," Economics Bulletin, AccessEcon, vol. 6(7), pages 1-14.
- Baharumshah, Ahmad Zubaidi & Liew, Venus Khim-Sen & Chowdhury, Ibrahim, 2010. "Asymmetry dynamics in real exchange rates: New results on East Asian currencies," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 648-661, October.
- Zanetti Chini, Emilio, 2018.
"Forecasting dynamically asymmetric fluctuations of the U.S. business cycle,"
International Journal of Forecasting, Elsevier, vol. 34(4), pages 711-732.
- Emilio Zanetti Chini, 2018. "Forecasting dynamically asymmetric fluctuations of the U.S. business cycle," DEM Working Papers Series 156, University of Pavia, Department of Economics and Management.
- Emilio Zanetti Chini, 2018. "Forecasting dynamically asymmetric fluctuations of the U.S. business cycle," CREATES Research Papers 2018-13, Department of Economics and Business Economics, Aarhus University.
- Angelos Kanas, 2009. "Real exchange rate, stationarity, and economic fundamentals," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 393-409, October.
- Ahmad, Ahmad Hassan & Aworinde, Olalekan B., 2019. "Are fiscal deficits inflationary in African countries? A new evidence from an asymmetric cointegration analysis," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Neanidis, Kyriakos C. & Savva, Christos S., 2013.
"Macroeconomic uncertainty, inflation and growth: Regime-dependent effects in the G7,"
Journal of Macroeconomics, Elsevier, vol. 35(C), pages 81-92.
- Kyriakos C. Neanidis & Christos S. Savva, 2010. "Macroeconomic Uncertainty, Inflation and Growth: Regime-Dependent Effects in the G7," Centre for Growth and Business Cycle Research Discussion Paper Series 145, Economics, The University of Manchester.
- Christopoulos, Dimitris K. & León-Ledesma, Miguel A., 2010.
"Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates,"
Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1076-1093, October.
- Dimitris, Christopoulos & Miguel, Leon-Ledesma, 2009. "Smooth Breaks and Nonlinear Mean Reversion: Post-Bretton Woods Real Exchange Rates," MPRA Paper 22553, University Library of Munich, Germany.
- Beaupain, Renaud & Durré, Alain, 2013.
"Central bank reserves and interbank market liquidity in the euro area,"
Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
- Durré, Alain & Beaupain, Renaud, 2012. "Nonlinear liquidity adjustments in the euro area overnight money market," Working Paper Series 1500, European Central Bank.
- Saint Kuttu, 2018. "Asymmetric mean reversion and volatility in African real exchange rates," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(3), pages 575-590, July.
- Omay, Tolga, 2012. "The comparison of optimization algorithms on unit root testing with smooth transition," MPRA Paper 42129, University Library of Munich, Germany.
- Frederick H Wallace & Daniel Ventosa-santaulària & Manuel Gómez-zaldívar, 2014.
"Is The Real Effective Exchange Rate Biased Against the PPP Hypothesis?,"
Economics Bulletin, AccessEcon, vol. 34(1), pages 395-399.
- Ventosa-Santaulària, Daniel & Wallace, Frederick & Gómez-Zaldívar, Manuel, 2012. "Is the real effective exchange rate biased against the PPP hypothesis?," MPRA Paper 42488, University Library of Munich, Germany.
- Natalie D. Hegwood & Hiranya K. Nath, 2014.
"Real exchange rate dynamics: Evidence from India,"
Economic Analysis and Policy, Elsevier, vol. 44(4), pages 396-404.
- Natalie D. Hegwood & Hiranya K. Nath, 2014. "Real Exchange Rate Dynamics: Evidence from India," Working Papers 1408, Sam Houston State University, Department of Economics and International Business.
- Miguel Carvalho & Paulo Júlio, 2012.
"Digging out the PPP hypothesis: an integrated empirical coverage,"
Empirical Economics, Springer, vol. 42(3), pages 713-744, June.
- Miguel de Carvalho & Paulo Júlio, 2010. "Digging Out the PPP Hypothesis: an Integrated Empirical Coverage," GEE Papers 0024, Gabinete de Estratégia e Estudos, Ministério da Economia, revised Sep 2010.
- repec:ebl:ecbull:v:6:y:2006:i:7:p:1-14 is not listed on IDEAS
- Kanas, Angelos & Genius, Margarita, 2005. "Regime (non)stationarity in the US/UK real exchange rate," Economics Letters, Elsevier, vol. 87(3), pages 407-413, June.
- Mario Cerrato & Hyunsok Kim & Ronald Macdonald, 2010.
"Three‐Regime Asymmetric STAR Modeling and Exchange Rate Reversion,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1447-1467, October.
- Mario Cerrato & Hyunsok Kim & Ronald Macdonald, 2010. "Three-Regime Asymmetric STAR Modeling and Exchange Rate Reversion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1447-1467, October.
- Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas, 2022.
"On the stationarity of futures hedge ratios,"
Operational Research, Springer, vol. 22(3), pages 2281-2303, July.
- Degiannakis, Stavros & Floros, Christos & Salvador, Enrique & Vougas, Dimitrios, 2020. "On the Stationarity of Futures Hedge Ratios," MPRA Paper 102907, University Library of Munich, Germany.
- Arize, Augustine C. & Malindretos, John & Igwe, Emmanuel U., 2017. "Do exchange rate changes improve the trade balance: An asymmetric nonlinear cointegration approach," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 313-326.
- Mr. Guy M Meredith, 2003. "Medium-Term Exchange Rate Forecasting: What Can We Expect?," IMF Working Papers 2003/021, International Monetary Fund.
- Emilio Zanetti Chini, 2013.
"Generalizing smooth transition autoregressions,"
CREATES Research Papers
2013-32, Department of Economics and Business Economics, Aarhus University.
- Emilio Zanetti Chini, 2017. "Generalizing Smooth Transition Autoregressions," DEM Working Papers Series 138, University of Pavia, Department of Economics and Management.
- Emilio Zanetti Chini, 2013. "Generalizing smooth transition autoregressions," CEIS Research Paper 294, Tor Vergata University, CEIS, revised 25 Sep 2014.
- Emilio Zanetti Chini, 2016. "Generalizing smooth transition autoregressions," DEM Working Papers Series 114, University of Pavia, Department of Economics and Management.
- Joon Y. Park & Mototsugu Shintani, 2016. "Testing For A Unit Root Against Transitional Autoregressive Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(2), pages 635-664, May.
- Angelos Kanas & Angelos Kotios & Panagiotis D. Zervopoulos, 2019. "Semi-parametric real exchange rates dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 52(2), pages 643-656, February.
- James Temitope Dada, 2020. "Asymmetric effect of exchange rate volatility on trade in sub-Saharan African countries," Journal of Economic and Administrative Sciences, Emerald Group Publishing Limited, vol. 37(2), pages 149-162, July.
- Tsong Ching-Chuan, 2012. "Unit Root Testing with Stationary Covariates in the Framework of Asymmetric STAR Nonlinearity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(5), pages 1-27, December.
- Tsangyao Chang, 2012. "Nonlinear adjustment to purchasing power parity in China," Applied Economics Letters, Taylor & Francis Journals, vol. 19(9), pages 843-848, June.
- Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2008.
"3-Regime symmetric STAR modeling and exchange rate reversion,"
Working Papers
2009_05, Business School - Economics, University of Glasgow, revised Feb 2009.
- Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2009. "3-Regime symmetric STAR modeling and exchange rate reversion," SIRE Discussion Papers 2009-07, Scottish Institute for Research in Economics (SIRE).
- Carlos P. Barros & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2014.
"Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour,"
African Development Review, African Development Bank, vol. 26(1), pages 59-73, March.
- Carlos Barros & Guglielmo Maria Caporale & Luis Gil-Alana, 2014. "Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour," African Development Review, African Development Bank, vol. 26(1), pages 59-73.
- Luis Alberiko Gil-Alaña & Carlos Pestana Barros & Guglielmo Maria Caporale, 2014. "Long memory in Angolan macroeconomic series: mean reversion versus explosive behaviour," NCID Working Papers 01/2014, Navarra Center for International Development, University of Navarra.
- Chang, Tsangyao & Lee, Chia-Hao & Liu, Wen-Chi, 2012. "Nonlinear adjustment to purchasing power parity for ASEAN countries," Japan and the World Economy, Elsevier, vol. 24(4), pages 325-331.
- Robert Sollis, 2005.
"Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 79-98.
- Robert Sollis, 2004. "Evidence on purchasing power parity from univariate models: the case of smooth transition trend-stationarity," Money Macro and Finance (MMF) Research Group Conference 2003 91, Money Macro and Finance Research Group.
- Axel Grossmann & Marc Simpson & Teofilo Ozuna, 2014. "Investigating the PPP hypothesis using constructed U.S. dollar equilibrium exchange rate misalignments over the post-bretton woods period," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(2), pages 235-268, April.
- Shu-Chen Chang, 2008. "Asymmetric cointegration relationship among Asian exchange rates," Economic Change and Restructuring, Springer, vol. 41(2), pages 125-141, June.
- Manuel Gómez-Zaldívar & Daniel Ventosa-Santaulària & Frederick Wallace, 2013. "The PPP hypothesis and structural breaks: the case of Mexico," Empirical Economics, Springer, vol. 45(3), pages 1351-1359, December.
- Yoon, Gawon, 2010. "Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?," Economic Modelling, Elsevier, vol. 27(2), pages 605-612, March.
- Mahdi Ghodsi & Mohammad Sharif Karimi & Robert Stehrer, 2020. "Does Asymmetric Nonlinear Approach Explain the Relationship Between Exchange Rate and Trade of Iran?," wiiw Working Papers 187, The Vienna Institute for International Economic Studies, wiiw.
- Marcus Lahtinen, 2006. "The Purchasing Power Parity puzzle: a sudden nonlinear perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 16(1-2), pages 119-125.
- Habimana, Olivier, 2016. "Asymmetric nonlinear mean reversion in real effective exchange rates: A Fisher-type panel unit root test applied to Sub-Saharan Africa," The Journal of Economic Asymmetries, Elsevier, vol. 14(PB), pages 189-198.
- Meng, Xiangcai & Huang, Chia-Hsing, 2016. "Nonlinear models for the sources of real effective exchange rate fluctuations: Evidence from the Republic of Korea," Japan and the World Economy, Elsevier, vol. 40(C), pages 21-30.
- Saupi, Nabil & Masih, Mansur, 2018. "Lead-lag between exchange rates and trade balance: Malaysian evidence," MPRA Paper 109874, University Library of Munich, Germany.
- Stephen Norman & Kerk Phillips, 2013.
"What is the shape of real exchange rate nonlinearity?,"
Applied Financial Economics, Taylor & Francis Journals, vol. 23(5), pages 363-375, March.
- Norman, Stephen & Phillips, Kerk L., 2009. "What is the Shape of Real Exchange Rate Nonlinearity?," MPRA Paper 23504, University Library of Munich, Germany.
- Frederick H Wallace, 2012. "Testing for a nonlinear Fisher relationship," Economics Bulletin, AccessEcon, vol. 32(1), pages 823-829.
- Arize, Augustine C. & Malindretos, John, 2012. "Nonstationarity and nonlinearity in inflation rate: Some further evidence," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 224-234.
- Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2013.
"Equilibrium exchange rate determination and multiple structural changes,"
Journal of Empirical Finance, Elsevier, vol. 22(C), pages 52-66.
- Hyunsok Kim & Ronald MacDonald, 2010. "Equilibrium exchange rate determination and multiple structural changes," Working Papers 2010_14, Business School - Economics, University of Glasgow.
- Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2010. "Equilibrium Exchange Rate Determination and Multiple Structural Changes," SIRE Discussion Papers 2010-39, Scottish Institute for Research in Economics (SIRE).
- Tsangyao Chang & Yu-Shao Liu & Chi-Wei Su, 2012. "Purchasing power parity with nonlinear and asymmetric smooth adjustment for the Middle Eastern countries," Applied Economics Letters, Taylor & Francis Journals, vol. 19(5), pages 487-491, March.
- Frederick Wallace, 2011.
"Purchasing power parity in Mexico: a historical note,"
Applied Economics Letters, Taylor & Francis Journals, vol. 18(4), pages 349-352.
- Wallace, Frederick, 2009. "Purchasing power parity in Mexico: a historical note," MPRA Paper 18081, University Library of Munich, Germany.
- Michael Bleaney, 2006. "Fundamentals And Exchange Rate Volatility," Discussion Papers 06/03, University of Nottingham, School of Economics.
- Canepa, Alessandra & Zanetti Chini, Emilio & Alqaralleh, Huthaifa, 2019. "Modelling Housing Market Cycles in Global Cities," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201901, University of Turin.
- Sollis, Robert, 2009. "A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries," Economic Modelling, Elsevier, vol. 26(1), pages 118-125, January.
- Beaupain, Renaud & Durré, Alain, 2013.
"Central bank reserves and interbank market liquidity in the euro area,"
Journal of Financial Intermediation, Elsevier, vol. 22(2), pages 259-284.
- R. Beaupain & A. Durre, 2013. "Central bank reserves and interbank market liquidity in the euro area," Post-Print hal-00840147, HAL.
- Kari Heimonen, 2006. "Nonlinear adjustment in PPP—evidence from threshold cointegration," Empirical Economics, Springer, vol. 31(2), pages 479-495, June.
- Kanas, Angelos, 2006. "Purchasing Power Parity and Markov Regime Switching," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1669-1687, September.
- Bec, Frederique & Guay, Alain & Guerre, Emmanuel, 2008.
"Adaptive consistent unit-root tests based on autoregressive threshold model,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 94-133, January.
- Frédérique Bec & Alain Guay & Emmanuel Guerre, 2002. "Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model," Working Papers 2002-46, Center for Research in Economics and Statistics.
- Grossmann, Axel & McMillan, David G., 2010. "Forecasting exchange rates: Non-linear adjustment and time-varying equilibrium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 436-450, October.
- Kim, Sei-wan & Lee, Kihoon & Nam, Kiseok, 2010. "The relationship between CO2 emissions and economic growth: The case of Korea with nonlinear evidence," Energy Policy, Elsevier, vol. 38(10), pages 5938-5946, October.
- Habimana, Olivier, 2018. "Asymmetry and Multiscale Dynamics in Macroeconomic Time Series Analysis," MPRA Paper 87823, University Library of Munich, Germany.
- Tolga Omay & Ayşegül Çorakcı & Furkan Emirmahmutoglu, 2017. "Real interest rates: nonlinearity and structural breaks," Empirical Economics, Springer, vol. 52(1), pages 283-307, February.
- Mohsen Bahmani‐Oskooee & Scott W. Hegerty, 2009. "Purchasing Power Parity In Less‐Developed And Transition Economies: A Review Paper," Journal of Economic Surveys, Wiley Blackwell, vol. 23(4), pages 617-658, September.
- Alessandra Canepa & Emilio Zanetti Chini & Huthaifa Alqaralleh, 2020. "Global Cities and Local Housing Market Cycles," The Journal of Real Estate Finance and Economics, Springer, vol. 61(4), pages 671-697, November.
- Emirmahmutoglu, Furkan & Omay, Tolga, 2014. "Reexamining the PPP hypothesis: A nonlinear asymmetric heterogeneous panel unit root test," Economic Modelling, Elsevier, vol. 40(C), pages 184-190.
- David McMillan, 2008. "Non-linear cointegration and adjustment: an asymmetric exponential smooth-transition model for US interest rates," Empirical Economics, Springer, vol. 35(3), pages 591-606, November.
- Tsong Ching-Chuan, 2012. "Unit Root Testing with Stationary Covariates in the Framework of Asymmetric STAR Nonlinearity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(5), pages 1-27, December.
- McMillan, David G., 2007. "Bubbles in the dividend-price ratio? Evidence from an asymmetric exponential smooth-transition model," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 787-804, March.
- Dilem Yildirim & Ralf Becker & Denise R Osborn, 2009. "Bootstrap Unit Root Tests for Nonlinear Threshold Models," Economics Discussion Paper Series 0915, Economics, The University of Manchester.
- Nicolau João, 2011. "Purchasing Power Parity Analyzed from a Continuous-Time Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(3), pages 1-26, May.
- Tsangyao Chang & Chia-Hao Lee & Pei-I Chou, 2012. "Nonlinear adjustment to purchasing power parity in G-7 countries," Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 123-128, February.
- Canepa, Alessandra & Chini, Emilio Zanetti, 2016. "Dynamic asymmetries in house price cycles: A generalized smooth transition model," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 91-103.
- Enders, Walter & Pascalau, Razvan, 2015. "Pretesting for multi-step-ahead exchange rate forecasts with STAR models," International Journal of Forecasting, Elsevier, vol. 31(2), pages 473-487.
- Daiki Maki & Shin-ichi Kitasaka, 2015. "Residual-based tests for cointegration with three-regime TAR adjustment," Empirical Economics, Springer, vol. 48(3), pages 1013-1054, May.
- Christina Anderl & Guglielmo Maria Caporale, 2021.
"Nonlinearities and asymmetric adjustment to PPP in an exchange rate model with inflation expectations,"
Journal of Economic Studies, Emerald Group Publishing Limited, vol. 49(6), pages 937-959, August.
- Christina Anderl & Guglielmo Maria Caporale, 2021. "Nonlinearities and Asymmetric Adjustment to PPP in an Exchange Rate Model with Inflation Expectations," CESifo Working Paper Series 8921, CESifo.