The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation
Open accessAbstract
Eolquilibrium models of real exchange rate determination in the presence of transactions costs imply a nonlinear adjustment process toward purchasing power parity (PPP). Conventional cointegration tests, Which ignore the effect of transactions costs, may be biased against the long‐run PPP hypothesis. Our results, using both monthly data for the interwar period and annual data spanning two centuries, clearly reject the linear framework in favor of an exponential smooth transition autoregressive process. The systematic pattern in the estimates of the nonlinear models provides strong evidence of mean‐reverting behavior for PPP deviations and helps explain the mixed results of previous studies
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Citations
Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Cited by
Taylor, A. M. (2001) · Econometrica · doi:10.1111/1468-0262.00199 · Cited by 538
PPP Strikes Back: Aggregation And the Real Exchange Rate
Imbs, J., Mumtaz, H., Ravn, M. O., & Rey, H. (2005) · The Quarterly Journal of Economics · doi:10.1162/0033553053327524 · Cited by 470
Metadata
- Authors
- Michael, P., Nobay, A. R., & Peel, D. A.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 1997-08
- Volume
- 105
- Issue
- 4
- Pages
- 862-879
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2085916232
- Cited by
- 750
- References
- 1
- FWCI
- 44.74
- Type
- journal article
- Language
- en
- Open access
- green
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- Michael, P., Nobay, A. R., & Peel, D. A. (1997). Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation. Journal of Political Economy. https://doi.org/10.1086/262096
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