Nonlinear mean-reversion to purchasing power parity: exponential smooth transition autoregressive models and stochastic unit root processes

被引：6

作者：

Yoon, Gawon ^{[1
]}

机构：

[1] Kookmin Univ, Sch Econ, Seoul 136702, South Korea

来源：

APPLIED ECONOMICS | 2010年 / 42卷 / 04期

关键词：

REAL EXCHANGE-RATE; TIME-SERIES; ADJUSTMENT; RATES; TESTS; EQUILIBRIUM; DYNAMICS; FLOAT;

D O I：

10.1080/00036840701604552

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Nonlinear exponential smooth transition autoregressive (ESTAR) models are recently very popular in modelling the deviation from purchasing power parity. This article, shows that there is a close relation between the ESTAR models estimated in Taylor et al. (2001) and stochastic unit root (STUR) processes of Granger and Swanson (1997) and McCabe and Tremayne (1995). Also, for a post-Bretton Woods sample period, the real exchange rates from four major countries are tested if they are better described as I(1), ESTAR or STUR processes.

引用

页码：489 / 496

页数：8

共 25 条

[1] Nonlinear mean reversion in real exchange rates: threshold autoregressive models and stochastic unit root processes
Yoon, Gawon
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[5] THE INF-T TEST FOR A UNIT ROOT AGAINST ASYMMETRIC EXPONENTIAL SMOOTH TRANSITION AUTOREGRESSIVE MODELS
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[8] Fourier Nonlinear Quantile Unit Root Test of Purchasing Power Parity in cryptocurrencies
Goswami, Gour Gobinda
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[J]. APPLIED ECONOMICS LETTERS, 2024, 31 (04) : 312 - 322
[9] Purchasing power parity in OECD countries: Nonlinear unit root tests revisited
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[J]. ECONOMIC MODELLING, 2013, 32 : 343 - 346
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[J]. APPLIED ECONOMICS LETTERS, 2011, 18 (08) : 719 - 722

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