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Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price
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- Growitsch Christian & Nepal Rabindra & Stronzik Marcus, 2015.
"Price Convergence and Information Efficiency in German Natural Gas Markets,"
German Economic Review, De Gruyter, vol. 16(1), pages 87-103, February.
- Christian Growitsch & Marcus Stronzik & Rabindra Nepal, 2015. "Price Convergence and Information Efficiency in German Natural Gas Markets," German Economic Review, Verein für Socialpolitik, vol. 16(1), pages 87-103, February.
- Growitsch, Christian & Stronzik, Marcus & Nepal, Rabindra, 2012. "Price convergence and information efficiency in German natural gas markets," EWI Working Papers 2012-5, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
- Levent, Korap, 2007. "Modeling purchasing power parity using co-integration: evidence from Turkey," MPRA Paper 19584, University Library of Munich, Germany.
- Herrmann-Pillath Carsten, 2001. "A General Refutation of the Law of One Price as Empirical Hypothesis / Eine allgemeine Widerlegung des „Gesetzes des einheitlichen Preises“ als einer empirischen Hypothese," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 221(1), pages 45-67, February.
- Federico, Giovanni & Schulze, Max-Stephan & Volckart, Oliver, 2021.
"European Goods Market Integration in the Very Long Run: From the Black Death to the First World War,"
The Journal of Economic History, Cambridge University Press, vol. 81(1), pages 276-308, March.
- Federico, Giovanni & Schulze, Max-Stephan & Volckart, Oliver, 2018. "European goods market integration in the very long run: from the Black Death to the First World War," Economic History Working Papers 87184, London School of Economics and Political Science, Department of Economic History.
- Federico, Giovanni & Schulze, Max Stephan & Volckart, Oliver, 2021. "European goods market integration in the very long run: from the Black Death to the First World War," LSE Research Online Documents on Economics 108553, London School of Economics and Political Science, LSE Library.
- Ivan Paya & David A. Peel, 2004. "Nonlinear Ppp Under The Gold Standard," Working Papers. Serie AD 2004-24, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
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"Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(4), pages 921-938, June.
- Chi-Young Choi & Nelson Mark & Donggyu Sul, 2004. "Unbiased Estimation of the Half-Life to PPP Convergence in Panel Data," NBER Working Papers 10614, National Bureau of Economic Research, Inc.
- Luciana Juvenal & Mark P. Taylor, 2007. "The Law of One Price: Nonlinearities in Sectoral Real Exchange Rate Dynamics," Money Macro and Finance (MMF) Research Group Conference 2006 80, Money Macro and Finance Research Group.
- Gadea Rivas, María Dolores & Gonzalo, Jesús, 2020.
"Trends in distributional characteristics: Existence of global warming,"
Journal of Econometrics, Elsevier, vol. 214(1), pages 153-174.
- Gadea Rivas, María Dolores, 2017. "Trends in distributional characteristics : Existence of global warming," UC3M Working papers. Economics 24121, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jean-Francois Hoarau, 2010.
"Does long-run purchasing power parity hold in Eastern and Southern African countries? Evidence from panel data stationary tests with multiple structural breaks,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 307-315.
- Jean-François Hoarau, 2010. "Does long-run purchasing power parity hold in Eastern and Southern African countries? Evidence from panel data stationary tests with multiple structural breaks," Post-Print hal-01243461, HAL.
- Jesus Crespo Cuaresma & Adelina Gschwandtner, 2006.
"The competitive environment hypothesis revisited: non-linearity, nonstationarity and profit persistence,"
Applied Economics, Taylor & Francis Journals, vol. 38(4), pages 465-472.
- Jesús Crespo-Cuaresma & Adelina Gschwandtner, 2003. "The competitive environment hypothesis revisited: Nonlinearity, nonstationarity and profit persistence," Vienna Economics Papers vie0316, University of Vienna, Department of Economics.
- Martin Mandel & Vladimír Tomšík, 2008. "Real Exchange Rate of the Czech Koruna and the Prices of Non-tradable Goods and Services [Reálný kurz české koruny a ceny mezinárodně neobchodovatelných statků]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2008(3), pages 3-12.
- István Kónya & Hiroshi Ohashi, 2007.
"International Consumption Patterns among High‐income Countries: Evidence from the OECD Data,"
Review of International Economics, Wiley Blackwell, vol. 15(4), pages 744-757, September.
- Istvan Konya & Hiroshi Ohashi, 2005. "International Consumption Patterns among High-income Countries: Evidence from the OECD Data," CIRJE F-Series CIRJE-F-327, CIRJE, Faculty of Economics, University of Tokyo.
- Kiliç, Rehim, 2009. "Further on nonlinearity, persistence, and integration properties of real exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 207-221, April.
- Bertram, Philip & Ma, Jun & Sibbertsen, Philipp, 2015. "Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model," Hannover Economic Papers (HEP) dp-565, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Matteo Pelagatti & Emilio Colombo, 2012. "Unpuzzling the Purchasing Power Parity Puzzle," Working Papers 221, University of Milano-Bicocca, Department of Economics, revised Mar 2012.
- Marçal, Emerson Fernandes & Zimmermann, Beatrice & de Prince, Diogo & Merlin, Giovanni, 2018.
"Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 72(4), December.
- Marçal, Emerson Fernandes & Zimmermann, Beatrice Aline & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin, 2015. "Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR," Textos para discussão 384, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Jan Marc Berk & Job Swank, 2007. "Regional real exchange rates and Phillips curves in monetary unions - Evidence from the US and EMU," DNB Working Papers 147, Netherlands Central Bank, Research Department.
- Kim, Hyeongwoo & Ryu, Deockhyun, 2015.
"A nonparametric study of real exchange rate persistence over a century,"
International Review of Economics & Finance, Elsevier, vol. 37(C), pages 406-418.
- Hyeongwoo Kim & Deockhyun Ryu, 2013. "A Nonparametric Study of Real Exchange Rate Persistence over a Century," Auburn Economics Working Paper Series auwp2013-08, Department of Economics, Auburn University.
- Hyeongwoo Kim & Deockhyun Ryu, 2014. "A Nonparametric Study of Real Exchange Rate Persistence over a Century," Auburn Economics Working Paper Series auwp2014-15, Department of Economics, Auburn University.
- Crucini, Mario J. & Shintani, Mototsugu & Tsuruga, Takayuki, 2015.
"Noisy information, distance and law of one price dynamics across US cities,"
Journal of Monetary Economics, Elsevier, vol. 74(C), pages 52-66.
- Mario J. Crucini & Mototsugu Shintani & Takayuki Tsuruga, 2010. "Noisy Information, Distance and Law of One Price Dynamics Across US Cities," Discussion papers e-11-005, Graduate School of Economics Project Center, Kyoto University, revised Jan 2012.
- Mario J. Crucini & Mototsugu Shintani & Takayuki Tsuruga, 2014. "Noisy information, distance and law of one price dynamics across US cities," Globalization Institute Working Papers 216, Federal Reserve Bank of Dallas.
- Mario J. Crucini & Mototsugu Shintani & Takayuki Tsuruga, 2014. "Noisy information, distance and law of one price dynamics across US cities," CAMA Working Papers 2014-77, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Mario J. Crucini & Mototsugu Shintani & Takayuki Tsuruga, 2012. "Noisy Information, Distance and Law of One Price Dynamics Across US Cities," NBER Working Papers 17815, National Bureau of Economic Research, Inc.
- Juan Manuel Julio-Roman, 2015.
"On the Stylized Facts of Nominal Exchange Rates in Brazil, Chile, Colombia, Mexico and Peru,"
Borradores de Economia
13015, Banco de la Republica.
- Juan Manuel Julio-Roman, 2015. "On the Stylized Facts of Nominal Exchange Rates in Brazil, Chile, Colombia, Mexico and Peru," Borradores de Economia 890, Banco de la Republica de Colombia.
- Simões, Oscar R. & Marçal, Emerson Fernandes, 2012.
"Agregação temporal e não-linearidade afetam os testes da paridade do poder de compra: Evidência a partir de dados brasileiros,"
Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(3), October.
- Simões, Oscar Rodrigues & Marçal, Emerson Fernandes, 2012. "Agregação temporal e não-linearidade afetam os testes da paridade do poder de compra: evidência a partir de dados brasileiros," Textos para discussão 310, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Jerry Coakley & Ana-Maria Fuertes & Andrew Wood, 2004.
"A new interpretation of the exchange rate-yield differential nexus,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(3), pages 201-218.
- Andrew Wood & Jerry Coakley & Ana-Maria Fuertes, 2003. "A New Interpretation of the Exchange Rate - Yield Differential Nexus," Computing in Economics and Finance 2003 160, Society for Computational Economics.
- Nakagawa, Hironobu, 2002. "Real exchange rates and real interest differentials: implications of nonlinear adjustment in real exchange rates," Journal of Monetary Economics, Elsevier, vol. 49(3), pages 629-649, April.
- Li, Zhuo & Panza, Laura & Song, Yong, 2019.
"The evolution of ottoman–European market linkages, 1469–1914: Evidence from dynamic factor models,"
Explorations in Economic History, Elsevier, vol. 71(C), pages 112-134.
- Li, Zhuo & Panza, Laura & Song, Yong, 2017. "The evolution of Ottoman-European market linkages, 1469-1914: evidence from dynamic factor models," MPRA Paper 80953, University Library of Munich, Germany.
- Bergin, Paul R. & Glick, Reuven & Wu, Jyh-Lin, 2014.
"Mussa redux and conditional PPP,"
Journal of Monetary Economics, Elsevier, vol. 68(C), pages 101-114.
- Paul R. Bergin & Reuven Glick & Jyh-Lin Wu, 2012. "Mussa Redux and Conditional PPP," NBER Working Papers 18331, National Bureau of Economic Research, Inc.
- Paul R. Bergin & Reuven Glick & Jyh-Lin Wu, 2012. "Mussa redux and conditional PPP," Working Paper Series 2012-14, Federal Reserve Bank of San Francisco.
- Domingo RodrÃguez Benavides & Abigail RodrÃguez Nava, 2019. "Convergencia de los precios locales en México: un enfoque de pruebas entre pares/Convergence of local prices in Mexico: A pairwise approach," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 34(2), pages 309-332.
- Scarcioffolo, Alexandre Ribeiro & Etienne, Xiaoli L., 2019. "How connected are the U.S. regional natural gas markets in the post-deregulation era? Evidence from time-varying connectedness analysis," Journal of Commodity Markets, Elsevier, vol. 15(C), pages 1-1.
- Jón Steinsson, 2008.
"The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models,"
American Economic Review, American Economic Association, vol. 98(1), pages 519-533, March.
- Jon Steinsson, 2005. "The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models," Economics wp28_jonst, Department of Economics, Central bank of Iceland.
- Jón Steinsson, 2008. "The Dynamic Behavior of the Real Exchange Rate in Sticky Price Models," NBER Working Papers 13910, National Bureau of Economic Research, Inc.
- Stef Espeel, 2024. "Driven by crises: Price integration on the grain market in late medieval Flanders," Economic History Review, Economic History Society, vol. 77(3), pages 849-872, August.
- Elberg, Andrés, 2016. "Sticky prices and deviations from the Law of One Price: Evidence from Mexican micro-price data," Journal of International Economics, Elsevier, vol. 98(C), pages 191-203.
- Franses, Ph.H.B.F. & van Dijk, D.J.C., 2002. "A simple test for PPP among traded goods," Econometric Institute Research Papers EI 2002-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- repec:lan:wpaper:2623 is not listed on IDEAS
- Frederick Wallace, 2013.
"Cointegration tests of purchasing power parity,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 149(4), pages 779-802, December.
- Wallace, Frederick, 2009. "Cointegration tests of purchasing power parity," MPRA Paper 18079, University Library of Munich, Germany.
- Hutchison, Michael & Kendall, Jake & Pasricha, Gurnain & Singh, Nirvikar, 2009.
"Indian capital control liberalization: Evidence from NDF markets,"
Working Papers
09/60, National Institute of Public Finance and Policy.
- Michael Hutchison & Jake Kendall & Gurnain Pasricha & Nirvikar Singh, 2009. "Indian Capital Control Liberalization : Evidence from NDF Markets," Finance Working Papers 22971, East Asian Bureau of Economic Research.
- Hutchison, Michael & Kendall, Jake & Pasricha, Gurnain & Singh, Nirvikar, 2010. "Indian Capital Control Liberalization: Evidence from NDF Markets," MPRA Paper 21771, University Library of Munich, Germany.
- Hutchison, Michael & Kendall, Jake & Pasricha, Gurnain Kaur & Singh, Nirvikar, 2009. "Indian Capital Control Liberalization: Evidence from NDF Markets," MPRA Paper 13630, University Library of Munich, Germany.
- Syed A. Basher & Josep Lluis Carrión-i-Silvestre, 2008. "Deconstructing Shocks and Persistence in OECD Real Exchange Rates," Working Papers XREAP2008-06, Xarxa de Referència en Economia Aplicada (XREAP), revised Jun 2008.
- Ahmad Zubaidi Baharumshah & Venus Khim‐Sen Liew & Chan Tze Haw, 2009.
"The Real Interest Rate Differential: International Evidence Based On Non‐Linear Unit Root Tests,"
Bulletin of Economic Research, Wiley Blackwell, vol. 61(1), pages 83-94, January.
- Baharumshah, Ahmad Zubaidi & Liew, Venus Khim-Sen & Chan, Tze-Haw, 2007. "The real interest rate differential: international evidence based on nonlinear unit root tests," MPRA Paper 7300, University Library of Munich, Germany.
- Meher Manzur, 2018. "Exchange rate economics is always and everywhere controversial," Applied Economics, Taylor & Francis Journals, vol. 50(3), pages 216-232, January.
- Shelley, Gary L. & Wallace, Frederick H., 2011.
"Further evidence regarding nonlinear trend reversion of real GDP and the CPI,"
Economics Letters, Elsevier, vol. 112(1), pages 56-59, July.
- Shelley, Gary & Wallace, Frederick, 2010. "Further evidence regarding nonlinear trend reversion of real GDP and the CPI," MPRA Paper 24962, University Library of Munich, Germany.
- James E. Anderson & Eric van Wincoop, 2004.
"Trade Costs,"
Journal of Economic Literature, American Economic Association, vol. 42(3), pages 691-751, September.
- James E. Anderson & Eric van Wincoop, 2004. "Trade Costs," NBER Working Papers 10480, National Bureau of Economic Research, Inc.
- James E. Anderson & Eric van Wincoop, 2004. "Trade Costs," Boston College Working Papers in Economics 593, Boston College Department of Economics.
- David Parsley & Helen Popper, 2010.
"Understanding Real Exchange Rate Movements With Trade In Intermediate Products,"
Pacific Economic Review, Wiley Blackwell, vol. 15(2), pages 171-188, May.
- Parsley, David & Popper, Helen, 2009. "Understanding Real Exchange Rate Movements with Trade in Intermediate Products," MPRA Paper 21117, University Library of Munich, Germany.
- Rossi, Barbara, 2005.
"Confidence Intervals for Half-Life Deviations From Purchasing Power Parity,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 432-442, October.
- Rossi, Barbara, 2002. "Confidence Intervals for Half-life Deviations from Purchasing Power Parity," Working Papers 02-08, Duke University, Department of Economics.
- Kai-Yin Woo & Shu-Kam Lee & Cho-Yiu Joe Ng, 2018. "An Investigation Into The Dynamic Relationship Between Cpi And Ppi: Evidence From The Uk, France And Germany," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(05), pages 1081-1100, July.
- Melike Bildirici & Elçin Aykaç Alp, 2012. "Minimum wage is efficient wage in Turkish labor market: TAR–cointegration analysis," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(4), pages 1261-1270, June.
- Grubb, Farley, 2010.
"Testing for the Economic Impact of the U.S. Constitution: Purchasing Power Parity Across the Colonies versus Across the States, 1748–1811,"
The Journal of Economic History, Cambridge University Press, vol. 70(1), pages 118-145, March.
- Farley Grubb, 2008. "Testing for the Economic Impact of the U.S. Constitution: Purchasing Power Parity across the Colonies versus across the States, 1748-1811," NBER Working Papers 13836, National Bureau of Economic Research, Inc.
- Farley Grubb, 2008. "Testing for the Economic Impact of the U.S. Constitution: Purchasing Power Parity across the Colonies versus across the States, 1748-1811," Working Papers 08-11, University of Delaware, Department of Economics.
- Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2009.
"Testing for efficiency in selected developing foreign exchange markets: An equilibrium-based approach,"
Economic Modelling, Elsevier, vol. 26(1), pages 155-166, January.
- Nikolaos Giannellis & Athanasios Papadopoulos, 2006. "Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-Based Approach," Working Papers 0717, University of Crete, Department of Economics.
- Claude Lopez & Christian J. Murray & David H. Papell, 2013.
"Median-unbiased estimation in DF-GLS regressions and the PPP puzzle,"
Applied Economics, Taylor & Francis Journals, vol. 45(4), pages 455-464, February.
- Claude Lopez & Christian J. Murray & David H. Papell, 2003. "Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle," University of Cincinnati, Economics Working Papers Series 2003-07, University of Cincinnati, Department of Economics.
- Claude Lopez & Christian J. Murray & David H. Papell, 2008. "Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle," University of Cincinnati, Economics Working Papers Series 2008-05, University of Cincinnati, Department of Economics, revised 2008.
- Claude Lopez & Chris J Murray & David H Papell, 2011. "Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle," Post-Print hal-00737928, HAL.
- Lopez, Claude & Murray, Chris & Papell, David, 2009. "Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle," MPRA Paper 26091, University Library of Munich, Germany.
- Lopez, C. & Murray, C J. & Papell, D H., 2011. "Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle," Working papers 338, Banque de France.
- Kim, Hyeongwoo & Moh, Young-Kyu, 2010.
"A century of purchasing power parity confirmed: The role of nonlinearity,"
Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1398-1405, November.
- Kim, Hyeongwoo & Moh, Young-Kyu, 2009. "A Century of Purchasing Power Parity Confirmed: The Role of Nonlinearity," MPRA Paper 17488, University Library of Munich, Germany.
- Choi, Chi-Young & Choi, Horag, 2016.
"The role of two frictions in geographic price dispersion: When market friction meets nominal rigidity,"
Journal of International Money and Finance, Elsevier, vol. 63(C), pages 1-27.
- Chi-Young Choi & Horag Choi, 2014. "The role of two frictions in geographic price dispersion: when market friction meets nominal rigidity," Globalization Institute Working Papers 219, Federal Reserve Bank of Dallas.
- Alan M. Taylor & Mark P. Taylor, 2004.
"The Purchasing Power Parity Debate,"
Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 135-158, Fall.
- Alan M. Taylor & Mark Taylor, 2004. "The Purchasing Power Parity Debate," Working Papers 133, University of California, Davis, Department of Economics.
- Alan M. Taylor & Mark P. Taylor, 2004. "The Purchasing Power Parity Debate," NBER Working Papers 10607, National Bureau of Economic Research, Inc.
- Taylor, Mark & Taylor, Alan M., 2004. "The Purchasing Power Parity Debate," CEPR Discussion Papers 4495, C.E.P.R. Discussion Papers.
- Nicolau, João, 2011. "Purchasing Power Parity analyzed through a continuous-time version of the ESTAR model," Economics Letters, Elsevier, vol. 110(3), pages 182-185, March.
- Monia Ben-Kaabia & José M. Gil & Mehrez Ameur, 2005. "Vertical integration and non-linear price adjustments: The Spanish poultry sector," Agribusiness, John Wiley & Sons, Ltd., vol. 21(2), pages 253-271.
- Scarcioffolo, Alexandre R. & Etienne, Xiaoli L., 2021. "Regime-switching energy price volatility: The role of economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 336-356.
- Georgios Chortareas & George Kapetanios, 2013.
"How Puzzling Is The Ppp Puzzle? An Alternative Half‐Life Measure Of Convergence To Ppp,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 435-457, April.
- Georgios Chortareas & George Kapetanios, 2004. "How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP," Working Papers 522, Queen Mary University of London, School of Economics and Finance.
- Georgios Chortareas & George Kapetanios, 2005. "How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of convergence to PPP," Money Macro and Finance (MMF) Research Group Conference 2005 36, Money Macro and Finance Research Group.
- Georgios Chortareas & George Kapetanios, 2004. "How Puzzling is the PPP Puzzle? An Alternative Half-Life Measure of Convergence to PPP," Working Papers 522, Queen Mary University of London, School of Economics and Finance.
- Zied Ftiti & Slim Chaouachi, 2018. "What Can We Learn About the Real Exchange Rate Behavior in the Case of a Peripheral Country?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(3), pages 681-707, September.
- Kenneth A. Froot & Michael Kim & Kenneth Rogoff, 2019.
"The Law of One Price Over 700 Years,"
Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 1-35, May.
- Kenneth A. Froot & Michael Kim & Kenneth Rogoff, 1995. "The Law of One Price Over 700 Years," NBER Working Papers 5132, National Bureau of Economic Research, Inc.
- Mr. Kenneth Rogoff & Mr. Kenneth Froot & Mr. Michael Kim, 2001. "The Law of One Price Over 700 Years," IMF Working Papers 2001/174, International Monetary Fund.
- Froot, Kenneth A. & Kim, Michael & Rogoff, Kenneth, 1995. "The Law of One Price Over 700 Years," Working Papers 95-13, C.V. Starr Center for Applied Economics, New York University.
- Baharumshah & Siew-Voon Soon & Wohar, 2015. "Parity reversion in the Asian real exchange rates: new evidence from the local-persistent model," Applied Economics, Taylor & Francis Journals, vol. 47(59), pages 6395-6408, December.
- Trapani, Lorenzo, 2021. "Inferential theory for heterogeneity and cointegration in large panels," Journal of Econometrics, Elsevier, vol. 220(2), pages 474-503.
- Juvenal Luciana & Taylor Mark P., 2008.
"Threshold Adjustment of Deviations from the Law of One Price,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-46, September.
- Luciana Juvenal & Mark P. Taylor, 2008. "Threshold adjustment in deviations from the law of one price," Working Papers 2008-027, Federal Reserve Bank of St. Louis.
- Ivan Paya & David A. Peel, 2004. "Nonlinear Purchasing Power Parity under the Gold Standard," Southern Economic Journal, John Wiley & Sons, vol. 71(2), pages 302-313, October.
- Hengyun Ma & Les Oxley & John Gibson, 2008.
"Testing for Energy Market Integration in China,"
Working Papers in Economics
08/12, University of Canterbury, Department of Economics and Finance.
- Hengyun Ma & Les Oxley & John Gibson, 2009. "Testing for Energy Market Integration in China," Working Papers 09_03, Motu Economic and Public Policy Research.
- Das, Samarjit & Bhattacharya, Kaushik, 2004. "Price Convergence across Regions in India," Bonn Econ Discussion Papers 1/2005, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Goldberg, Pinelopi K. & Verboven, Frank, 2005.
"Market integration and convergence to the Law of One Price: evidence from the European car market,"
Journal of International Economics, Elsevier, vol. 65(1), pages 49-73, January.
- Pinelopi K. Goldberg & Frank Verboven, 2001. "Market Integration and Convergence to the Law of One Price: Evidence from the European Car Market," NBER Working Papers 8402, National Bureau of Economic Research, Inc.
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- Maurice Obstfeld & Kenneth Rogoff, 2001.
"The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?,"
NBER Chapters, in: NBER Macroeconomics Annual 2000, Volume 15, pages 339-412,
National Bureau of Economic Research, Inc.
- Maurice Obstfeld & Kenneth Rogoff & Ben Bernanke & Kenneth Rogoff, "undated". "The Six Major Puzzles in International Macroeconomics: Is there a Common Cause?," Working Paper 32326, Harvard University OpenScholar.
- Maurice Obstfeld & Kenneth Rogoff, 2001. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," International Trade 0012003, University Library of Munich, Germany.
- Maurice Obstfeld and Kenneth Rogoff., 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," Center for International and Development Economics Research (CIDER) Working Papers C00-112, University of California at Berkeley.
- Maurice Obstfeld & Kenneth Rogoff, 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," NBER Working Papers 7777, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice & Rogoff, Kenneth, 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," Department of Economics, Working Paper Series qt0sx02651, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Obstfeld, Maurice & Rogoff, Kenneth, 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," Center for International and Development Economics Research, Working Paper Series qt0sx02651, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
- Ahmad, Yamin & Craighead, William D., 2011.
"Temporal aggregation and purchasing power parity persistence,"
Journal of International Money and Finance, Elsevier, vol. 30(5), pages 817-830, September.
- Yamin Ahmad & William Craighead, 2010. "Temporal Aggregation and Purchasing Power Parity Persistence," Working Papers 10-01, UW-Whitewater, Department of Economics, revised Feb 2011.
- Yamin Ahmad & William D. Craighead, 2011. "Temporal Aggregation and Purchasing Power Parity Persistence," Wesleyan Economics Working Papers 2011-001, Wesleyan University, Department of Economics.
- Rod Tyers & Ying Zhang, 2014.
"Real exchange rate determination and the China puzzle,"
Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 28(2), pages 1-32, November.
- Rod Tyers & Ying Zhang, 2014. "Real Exchange Rate Determination and the China Puzzle," Economics Discussion / Working Papers 14-19, The University of Western Australia, Department of Economics.
- Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2010.
"Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model,"
Annals of Economics and Statistics, GENES, issue 99-100, pages 395-427.
- Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER).
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Textos para discussão
385, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Diogo De Prince Mendonça & Emerson Fernandes Marçal & Beatrice Zimmermann & Giovanni Merlin, 2016. "Does Mixed Frequency Vector Error Correction Model Add Relevant Information To Exchange Misalignment Calculus? Evidence For United States," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 043, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Rui Mano & Ms. Carolina Osorio-Buitron & Mr. Luca A Ricci & Mr. Mauricio Vargas, 2019. "The Level REER model in the External Balance Assessment (EBA) Methodology," IMF Working Papers 2019/192, International Monetary Fund.
- Kim, Hyeongwoo & Ryu, Deockhyun, 2015.
"Measuring the speed of convergence of stock prices: A nonparametric and nonlinear approach,"
Economic Modelling, Elsevier, vol. 51(C), pages 227-241.
- Hyeongwoo Kim & Deockhyun Ryu, 2013. "Measuring the Speed of Convergence of Stock Prices: A Nonparametric and Nonlinear Approach," Auburn Economics Working Paper Series auwp2013-06, Department of Economics, Auburn University.
- Hyeongwoo Kim & Deockhyun Ryu, 2015. "Measuring the Speed of Convergence of Stock Prices: A Nonparametric and Nonlinear Approach," Auburn Economics Working Paper Series auwp2015-08, Department of Economics, Auburn University.
- Inkoo Lee & Sang Soo Park & Marios Zachariadis, 2023.
"Non‐linearities in international prices,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(3), pages 1032-1062, August.
- Inkoo Lee & Sang Soo Park & Marios Zachariadis, 2018. "Non-Linearities in International Prices," University of Cyprus Working Papers in Economics 06-2018, University of Cyprus Department of Economics.
- James R. Lothian & Mark P. Taylor, 2008.
"Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod‐Balassa‐Samuelson Effect?,"
Economic Journal, Royal Economic Society, vol. 118(532), pages 1742-1763, October.
- JamesR. Lothian & MarkP. Taylor, 2008. "Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?," Economic Journal, Royal Economic Society, vol. 118(532), pages 1742-1763, October.
- Lothian, James R. & Taylor, Mark P., 2006. "Real Exchange Rates Over the Past Two Centuries : How Important is the Harrod-Balassa-Samuelson Effect?," The Warwick Economics Research Paper Series (TWERPS) 768, University of Warwick, Department of Economics.
- Lothian, James R. & Taylor, Mark P., 2006. "Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?," Economic Research Papers 269738, University of Warwick - Department of Economics.
- H. Levent Korap & Ozgur Aslan, 2010.
"Re-examination of the long-run purchasing power parity: further evidence from Turkey,"
Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3559-3564.
- Korap, Levent & Aslan, Özgür, 2010. "Re-examination of the long-run purchasing power parity: further evidence from Turkey," MPRA Paper 26273, University Library of Munich, Germany.
- Georg H. Strasser, 2010.
"The Efficiency of the Global Markets for Final Goods and Productive Capabilities,"
Boston College Working Papers in Economics
766, Boston College Department of Economics, revised 31 Jan 2012.
- Georg Strasser, 2011. "The Efficiency of the Global Markets for Final Goods and Productive Capabilities," 2011 Meeting Papers 576, Society for Economic Dynamics.
- Chin-Ping King, 2012. "Half Life of the Real Exchange Rate: Evidence from the Nonlinear Approach in Emerging Economies," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 8(1), pages 1-23, January.
- Kenneth Rogoff, 2009. "Exchange rates in the modern floating era: what do we really know?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 145(1), pages 1-12, April.
- Santeramo, Fabio, 2021. "Price dynamics, LOP and quantile regressions," MPRA Paper 107454, University Library of Munich, Germany.
- Hyeongwoo Kim & Liliana Stern & Michael Stern, 2009. "Nonlinear mean reversion in the G7 stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(5), pages 347-355.
- Rabe, Collin & Waddle, Andrea, 2020. "The evolution of purchasing power parity," Journal of International Money and Finance, Elsevier, vol. 109(C).
- Siphat Lim, 2021. "Testing Purchasing Power Parity in Cambodia: Time-Varying Trade Weights in Constructing Real Effective Exchange Rate," International Journal of Economics and Financial Issues, Econjournals, vol. 11(3), pages 146-153.
- Chen, Yu-chin & Rogoff, Kenneth, 2003. "Commodity currencies," Journal of International Economics, Elsevier, vol. 60(1), pages 133-160, May.
- Sokbae Lee & Myung Hwan Seo & Youngki Shin, 2017.
"Correction,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 883-883, April.
- Myung Hwan Seo, 2007. "Estimation of Nonlinear Error CorrectionModels," STICERD - Econometrics Paper Series 517, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Carol H. Shiue & Wolfgang Keller, 2007.
"Markets in China and Europe on the Eve of the Industrial Revolution,"
American Economic Review, American Economic Association, vol. 97(4), pages 1189-1216, September.
- Carol H. Shiue & Wolfgang Keller, 2004. "Markets in China and Europe on the Eve of the Industrial Revolution," NBER Working Papers 10778, National Bureau of Economic Research, Inc.
- Keller, Wolfgang & Shiue, Carol, 2004. "Markets in China and Europe on the Eve of the Industrial Revolution," CEPR Discussion Papers 4420, C.E.P.R. Discussion Papers.
- Bayar Omer, 2014. "Temporal aggregation and estimated monetary policy rules," The B.E. Journal of Macroeconomics, De Gruyter, vol. 14(1), pages 553-577, January.
- Mancuso, Anthony J. & Goodwin, Barry K. & Grennes, Thomas J., 2003. "Nonlinear aspects of capital market integration and real interest rate equalization," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 283-303.
- Mr. Gene L. Leon & Serineh Najarian, 2003. "Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates," IMF Working Papers 2003/159, International Monetary Fund.
- Choi, Chi-Young & Matsubara, Kiyoshi, 2007. "Heterogeneity in the persistence of relative prices: What do the Japanese cities tell us?," Journal of the Japanese and International Economies, Elsevier, vol. 21(2), pages 260-286, June.
- Dimitrios Malliaropulos & Ekaterini Panopoulou & Nikitas Pittis & Theologos Pantelidis, 2006.
"The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates,"
The Institute for International Integration Studies Discussion Paper Series
iiisdp135, IIIS.
- Ekaterini Panopoulou & Dimitrios Malliaropulos & Theologos Pantelidis & Nikitas Pittis, 2006. "The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates," Economics Department Working Paper Series n1640306, Department of Economics, National University of Ireland - Maynooth.
- 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.
- Luca Fanelli & Emanuele Bacchiocchi, 2005. "Testing the purchasing power parity through I(2) cointegration techniques," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 749-770.
- Esso, Loesse Jacques, 2010. "Threshold cointegration and causality relationship between energy use and growth in seven African countries," Energy Economics, Elsevier, vol. 32(6), pages 1383-1391, November.
- Cathy Chen & Shu-Yu Chen & Sangyeol Lee, 2013. "Bayesian Unit Root Test in Double Threshold Heteroskedastic Models," Computational Economics, Springer;Society for Computational Economics, vol. 42(4), pages 471-490, December.
- Matthieu Stigler & Ajay Shah & Ila Patnaik, 2010.
"Understanding the ADR premium under market segmentation,"
Finance Working Papers
21850, East Asian Bureau of Economic Research.
- Ajay Shah & Ila Patnaik & Matthieu Stigler, 2010. "Understanding the ADR premium under market segmentation," Working Papers id:2826, eSocialSciences.
- Stigler, Mathieu & Shah, Ajay & Patnaik, Ila, 2010. "Understanding the ADR premium under market segmentation," Working Papers 10/71, National Institute of Public Finance and Policy.
- Mototsugu Shintani, 2006.
"A nonparametric measure of convergence towards purchasing power parity,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 589-604.
- Mototsugu Shintani, 2002. "A Nonparametric Measure of Convergence Toward Purchasing Power Parity," Vanderbilt University Department of Economics Working Papers 0219, Vanderbilt University Department of Economics, revised Jul 2004.
- Mototsugu Shintani, 2003. "A Nonparametric Measure of Convergence Toward Purchasing Power Parity," Levine's Working Paper Archive 506439000000000172, David K. Levine.
- D. Ventosa-Santaul a & M. G -Zald & F. H. Wallace, 2015.
"The real exchange rate, regime changes and volatility shifts,"
Applied Economics, Taylor & Francis Journals, vol. 47(24), pages 2445-2454, May.
- Daniel Ventosa-Santaularia & Frederick Wallace & Manuel Gomez-Zaldívar, 2013. "The Real Exchange Rate, Regime Changes and Volatility Shifts," Working Papers DTE 551, CIDE, División de Economía.
- Choi, Jae Hoon & Song, Seongho, 2022. "Revisiting the PPP puzzle: Nominal exchange rate rigidity and region of inaction," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
- Guney, Selin, 2015. "An Analysis of the Pass-Through of Exchange Rates in Tropical Forest Product Markets: A Smooth Transition Approach," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205107, Agricultural and Applied Economics Association.
- Chilosi, David & Murphy, Tommy E. & Studer, Roman & Tunçer, A. Coşkun, 2013.
"Europe's many integrations: Geography and grain markets, 1620–1913,"
Explorations in Economic History, Elsevier, vol. 50(1), pages 46-68.
- David Chilosi & Tommy E. Murphy & Roman Studer, 2011. "Europe’s Many Integrations: Geography and Grain Markets, 1620-1913," Working Papers 412, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Kenneth W. Clements & H. Y. Izan & Yihui Lan, 2009.
"A Stochastic Measure of International Competitiveness,"
International Review of Finance, International Review of Finance Ltd., vol. 9(1‐2), pages 51-81, March.
- Kenneth W. Clements & H.Y Izan & Yihui Lan, 2005. "A Stochastic Measure of International Competitiveness," Economics Discussion / Working Papers 05-15, The University of Western Australia, Department of Economics.
- Park, Haesun & Mjelde, James W. & Bessler, David A., 2008. "Price interactions and discovery among natural gas spot markets in North America," Energy Policy, Elsevier, vol. 36(1), pages 290-302, January.
- Giorgio Canarella & Stephen Miller & Stephen Pollard, 2012. "Unit Roots and Structural Change," Urban Studies, Urban Studies Journal Limited, vol. 49(4), pages 757-776, March.
- Frederick H Wallace, 2012. "Testing for a nonlinear Fisher relationship," Economics Bulletin, AccessEcon, vol. 32(1), pages 823-829.
- Zisimos Koustas & Jean-Francois Lamarche, 2005.
"Policy-Induced Mean Reversion in the Real Interest Rate?,"
Working Papers
0503, Brock University, Department of Economics, revised Jul 2005.
- Zisimos Koustas & Jean-Francois Lamarche, 2006. "Policy-Induced Mean Reversion in the Real Interest Rate?," Working Papers 0601, Brock University, Department of Economics.
- Barry K. Goodwin & Matthew T. Holt & Jeffrey P. Prestemon, 2021. "Semi-parametric models of spatial market integration," Empirical Economics, Springer, vol. 61(5), pages 2335-2361, November.
- Hasan Muhammad Mohsin & Scott Gilbert, 2010.
"The Relative City Price Convergence in Pakistan: Empirical Evidence from Spatial GLS,"
The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 49(4), pages 439-448.
- Mohsin, Hasan M & Gilbert, Scott, 2010. "Relative City Price Convergence in Pakistan: Empirical Evidence from Spatial GLS," MPRA Paper 27901, University Library of Munich, Germany.
- Lambelet, Jean-Christian & Mihailov, Alexander, 2005.
"The Triple-Parity Law,"
Economics Discussion Papers
8896, University of Essex, Department of Economics.
- Jean-Christian Lambelet & Alexander Mihailov, 2006. "The Triple-Parity Law," Computing in Economics and Finance 2006 33, Society for Computational Economics.
- Sofiane H. Sekioua, 2004. "Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the dominant root and half-lives of shocks," Money Macro and Finance (MMF) Research Group Conference 2004 91, Money Macro and Finance Research Group.
- Lo Ming Chien, 2008. "Nonlinear PPP Deviations: A Monte Carlo Investigation of Their Unconditional Half-Life," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-31, December.
- Joon Y. Park & Mototsugu Shintani, 2005.
"Testing for a Unit Root against Transitional Autoregressive Models,"
Vanderbilt University Department of Economics Working Papers
05010, Vanderbilt University Department of Economics.
- Joon Y. Park & Mototsugu Shintani, 2006. "Testing for a Unit Root against Transitional Autoregressive Models," Levine's Bibliography 321307000000000316, UCLA Department of Economics.
- Muhammad Aftab & Karim Bux Shah Syed & Naveed Akhter Katper, 2017. "Exchange-rate volatility and Malaysian-Thai bilateral industry trade flows," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 44(1), pages 99-114, January.
- I Paya & D Peel, 2005. "Temporal aggregation of an ESTAR process," Working Papers 565938, Lancaster University Management School, Economics Department.
- repec:lan:wpaper:2624 is not listed on IDEAS
- 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.
- Basci Erdem & Caner Mehmet, 2005.
"Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a New Threshold Unit Root Test,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-21, December.
- Erdem Basci & Mehmet Caner, 2005. "Are Real Exchange Rates Nonlinear or Nonstationary? Evidence from a new Threshold Unit Root Test," International Finance 0512001, University Library of Munich, Germany.
- Chen, Show-Lin & Wu, Jyh-Lin, 2011.
"Home bias and the persistence of real exchange rates,"
Economic Modelling, Elsevier, vol. 28(1-2), pages 55-59, January.
- Chen, Show-Lin & Wu, Jyh-Lin, 2011. "Home bias and the persistence of real exchange rates," Economic Modelling, Elsevier, vol. 28(1), pages 55-59.
- Li, Ming-Yuan Leon, 2008. "Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 511-520.
- Liu, Tao, 2014. "The onshore-offshore interaction of RMB market: a high-frequency analysis," MPRA Paper 63905, University Library of Munich, Germany.
- Ma, Hengyun & Oxley, Les, 2012.
"The emergence and evolution of regional convergence clusters in China's energy markets,"
Energy Economics, Elsevier, vol. 34(1), pages 82-94.
- Hengyun Ma & Les Oxley, 2010. "The Emergence and Evolution of Regional Convergence Clusters in China’s Energy Markets," Working Papers in Economics 10/14, University of Canterbury, Department of Economics and Finance.
- Ming-Yuan Leon Li, 2009. "Nonlinear interrelations between ADRs and their underlying stocks revisited: application of threshold VECM," Applied Economics Letters, Taylor & Francis Journals, vol. 16(18), pages 1867-1873.
- Wu, Jyh-Lin & Chen, Pei-Fen, 2008. "A revisit on dissecting the PPP puzzle: Evidence from a nonlinear approach," Economic Modelling, Elsevier, vol. 25(4), pages 684-695, July.
- Su, Chi-Wei & Tsangyao, Chang & Chang, Hsu-Ling, 2011. "Purchasing power parity for fifteen Latin American countries: Stationary test with a Fourier function," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 839-845, October.
- Yamin Ahmad & Ivan Paya, 2014. "Temporal Aggregation of Random Walk Processes and Implications for Asset Prices," Working Papers 14-01, UW-Whitewater, Department of Economics.
- R. Andrew Butters, 2020. "Demand Volatility, Adjustment Costs, and Productivity: An Examination of Capacity Utilization in Hotels and Airlines," American Economic Journal: Microeconomics, American Economic Association, vol. 12(4), pages 1-44, November.
- Iuliana Matei, 2009.
"Testing for price convergence: how close are EU New Member's States to euro zone?,"
Economics Bulletin, AccessEcon, vol. 29(4), pages 3083-3094.
- Iuliana Matei, 2009. "Testing for price convergence: how close are EU New Member's States to euro zone?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00515126, HAL.
- Iuliana Matei, 2009. "Testing for price convergence: how close are EU New Member's States to euro zone?," Post-Print halshs-00515126, HAL.
- A Ghoshray, 2009. "Nonlinear Price Transmission in Wheat Export Prices," Department of Economics Working Papers 11/09, University of Bath, Department of Economics.
- Mensah, Justice Tei, 2014. "Carbon emissions, energy consumption and output: A threshold analysis on the causal dynamics in emerging African economies," Energy Policy, Elsevier, vol. 70(C), pages 172-182.
- David A. Peel & Ivan Paya, 2006.
"Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668.
- Ivan Paya & David A. Peel, 2006. "Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 655-668, July.
- Ivan Paya & David A. Peel, 2004. "Temporal Aggregation Of An Estar Process: Some Implications For Purchasing Power Parity Adjustment," Working Papers. Serie AD 2004-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- O'Connell, Paul G. J. & Wei, Shang-Jin, 2002. ""The bigger they are, the harder they fall": Retail price differences across U.S. cities," Journal of International Economics, Elsevier, vol. 56(1), pages 21-53, January.
- Ivan Paya & David A. Peel, 2011. "Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(2), pages 192-203, February.
- David C. Parsley & Shang-Jin Wei, 2004. "A Price Based Approach To Estimate The Effects Of Monetary Arrangements On Trade Integration," Development Working Papers 185, Centro Studi Luca d'Agliano, University of Milano.
- Xu, Zhenhui, 2003. "Purchasing power parity, price indices, and exchange rate forcasts," Journal of International Money and Finance, Elsevier, vol. 22(1), pages 105-130, February.
- Sokbae Lee & Myung Hwan Seo & Youngki Shin, 2017.
"Correction,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 883-883, April.
- Seo, Myunghwan, 2006. "Bootstrap testing for the null of no cointegration in a threshold vector error correction model," Journal of Econometrics, Elsevier, vol. 134(1), pages 129-150, September.
- Luke Willard, 2007. "Trade Costs and Some Puzzles in International Macroeconomics," RBA Research Discussion Papers rdp2007-10, Reserve Bank of Australia.
- Yihui Lan, 2003. "The Long-Term Behaviour of Exchange Rates, Part III: The Explosion of Purchasing Power Parity," Economics Discussion / Working Papers 03-07, The University of Western Australia, Department of Economics.
- repec:lan:wpaper:2403 is not listed on IDEAS
- Marina Glushenkova & Marios Zachariadis, 2016. "Understanding Post‐Euro Law‐of‐One‐Price Deviations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(6), pages 1073-1111, September.
- Ana-Maria Fuertes & Jerry Coakley & Andrew Wood, 2004. "A new interpretation of the real exchange rate - yield differential nexus," Money Macro and Finance (MMF) Research Group Conference 2003 32, Money Macro and Finance Research Group.
- Ogrokhina, Olena, 2019. "Persistence of prices in the Eurozone capital cities: Evidence from the Economist Intelligence Unit City Data," Economic Modelling, Elsevier, vol. 76(C), pages 330-338.
- Slim Chaouachi & Zied Ftiti & Frederic Teulon, 2014. "Explaining the Tunisian Real Exchange: Long Memory versus Structural Breaks," Working Papers 2014-147, Department of Research, Ipag Business School.
- Nogues-Marco, Pilar & Herranz-Loncán, Alfonso & Aslanidis, Nektarios, 2019.
"The Making of a National Currency: Spatial Transaction Costs and Money Market Integration in Spain (1825–1874),"
The Journal of Economic History, Cambridge University Press, vol. 79(4), pages 1094-1128, December.
- Nogues-Marco, Pilar & Herranz-Loncán, Alfonso & Aslanidis, Nektarios, 2017. "The making of a national currency. Spatial transaction costs and money market integration in Spain (1825-1874)," CEPR Discussion Papers 12453, C.E.P.R. Discussion Papers.
- Clements, Kenneth & Lan, Yihui & Roberts, John, 2008.
"Exchange-rate economics for the resources sector,"
Resources Policy, Elsevier, vol. 33(2), pages 102-117, June.
- Kenneth W Clements & Yihui Lan & John Roberts, 2007. "Exchange-Rate Economics for the Resources Sector," Economics Discussion / Working Papers 07-13, The University of Western Australia, Department of Economics.
- Papell, David H., 2006. "The Panel Purchasing Power Parity Puzzle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(2), pages 447-467, March.
- Aviral Tiwari & Muhammad Shahbaz, 2014. "Revisiting Purchasing Power Parity for India using threshold cointegration and nonlinear unit root test," Economic Change and Restructuring, Springer, vol. 47(2), pages 117-133, May.
- Bilgin, Mehmet Huseyin & Gozgor, Giray & Lau, Chi Keung Marco & Sheng, Xin, 2018. "The effects of uncertainty measures on the price of gold," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 1-7.
- Mototsugu Shintani, 2006. "A nonparametric measure of convergence towards purchasing power parity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 589-604, July.
- Chalamandaris, George & Pagratis, Spyros, 2019. "Limits to arbitrage and CDS–bond dynamics around the financial crisis," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 213-235.
- Ahmad Baharumshah & Venus Liew, 2006. "Forecasting Performance of Exponential Smooth Transition Autoregressive Exchange Rate Models," Open Economies Review, Springer, vol. 17(2), pages 235-251, April.
- Kung-Sik Chan & Simone Giannerini & Greta Goracci & Howell Tong, 2020. "Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis," Papers 2002.09968, arXiv.org, revised Nov 2021.
- Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007. "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers 200710, University of Barcelona, Research Institute of Applied Economics, revised May 2007.
- Matteo Pelagatti & Emilio Colombo, 2015.
"On the Empirical Failure of Purchasing Power Parity Tests,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(6), pages 904-923, September.
- Matteo Pelagatti & Emilio Colombo, 2012. "On the empirical failure of purchasing power parity tests," Working Papers 20120501, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
- Paul Cashin & C. John McDermott, 2006.
"Parity Reversion in Real Exchange Rates: Fast, Slow, or Not at All?,"
IMF Staff Papers, Palgrave Macmillan, vol. 53(1), pages 1-5.
- Mr. C. John McDermott & Mr. Paul Cashin, 2004. "Parity Reversion in Real Exchange Rates: Fast, Slow or Not At All?," IMF Working Papers 2004/128, International Monetary Fund.
- Dimitrios Malliaropulos & Ekaterini Panopoulou & Theologos Pantelidis & Nikitas Pittis, 2013. "Decomposing the persistence of real exchange rates," Empirical Economics, Springer, vol. 44(3), pages 1217-1242, June.
- Steven Gjerstad, 2013.
"Price dynamics in an exchange economy,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 52(2), pages 461-500, March.
- Steven Gjerstad, 2007. "Price Dynamics in an Exchange Economy," Purdue University Economics Working Papers 1205, Purdue University, Department of Economics.
- Marçal, Emerson Fernandes, 2013. "Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment," Textos para discussão 348, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Gawon Yoon, 2010. "On the performance of a nonparametric measure of convergence towards purchasing power parity in the presence of linearity," Applied Economics Letters, Taylor & Francis Journals, vol. 17(14), pages 1389-1396.
- Jaya Krishnakumar & David Neto, 2012. "Testing Uncovered Interest Rate Parity and Term Structure Using a Three‐regime Threshold Unit Root VECM: An Application to the Swiss ‘Isle’ of Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 180-202, April.
- Maki Daiki, 2010. "Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-43, September.
- Onour, Ibrahim, 2009. "Rational bubbles and volatility persistence in India stock market," MPRA Paper 18545, University Library of Munich, Germany.
- Nicolau, João, 2017. "A simple nonparametric method to estimate the expected time to cross a threshold," Statistics & Probability Letters, Elsevier, vol. 123(C), pages 146-152.
- Goodwin, Barry K. & Grennes, Thomas J. & Craig, Lee A., 2002. "Mechanical Refrigeration and the Integration of Perishable Commodity Markets," Explorations in Economic History, Elsevier, vol. 39(2), pages 154-182, April.
- repec:ebl:ecbull:v:6:y:2006:i:17:p:1-15 is not listed on IDEAS
- Hyginus Leon & Serineh Najarian, 2005. "Asymmetric adjustment and nonlinear dynamics in real exchange rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(1), pages 15-39.
- Aftab, Muhammad & Phylaktis, Kate, 2022. "Economic integration and exchange market pressure in a policy uncertain world," Journal of International Money and Finance, Elsevier, vol. 128(C).
- Muhammad Aftab & Karim Bux Shah Syed & Rubi Ahmad & Izlin Ismail, 2016. "Exchange-rate variability and industry trade flows between Malaysia and Japan," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 25(4), pages 453-478, June.
- Rogers, Evan, 2014. "Spatial Price Transmission and Market Linkages in US Framing Lumber Markets," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 174436, Agricultural and Applied Economics Association.
- Jyh‐Lin Wu & Pei‐Fen Chen, 2006. "Price Indices and Nonlinear Mean‐Reversion of Real Exchange Rates," Southern Economic Journal, John Wiley & Sons, vol. 73(2), pages 461-471, October.
- Laura Panza, 2024.
"From a common empire to colonial rule: Commodity market disintegration in the Near East,"
Economic History Review, Economic History Society, vol. 77(2), pages 584-611, May.
- Panza, Laura, 2020. "From a common empire to colonial rule: commodity market disintegration in the Near East," CEPR Discussion Papers 15434, C.E.P.R. Discussion Papers.
- Trenkler, Carsten & Wolf, Nikolaus, 2005.
"Economic integration across borders: The Polish interwar economy 1921–1937,"
European Review of Economic History, Cambridge University Press, vol. 9(2), pages 199-231, August.
- Trenkler, Carsten & Wolf, Nikolaus, 2004. "Economic integration across borders : the Polish interwar economy 1921-1937," Papers 2004,38, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Mladenovic, Zorica & Petrovic, Pavle, 2010. "Cagan's paradox and money demand in hyperinflation: Revisited at daily frequency," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1369-1384, November.
- repec:fgv:epgrbe:v:66:n:3:a:6 is not listed on IDEAS
- David Parsley Shang-Jin Wei, 2002. "Currency Arrangements And Goods Market Integration: A Price Based Approach," International Finance 0211004, University Library of Munich, Germany.
- Habimana, Olivier, 2018. "Asymmetry and Multiscale Dynamics in Macroeconomic Time Series Analysis," MPRA Paper 87823, University Library of Munich, Germany.
- Yanjie Zhu & Les Oxley & Hengyun Ma & Wenchao Wang, 2016. "The emergence of convergent price clusters in China," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 24(1), pages 69-98, January.
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