Real Exchange Rate with Nonlinear Threshold Effect
Bibliographic Data
| ID | 15067342 |
|---|---|
| Authors | Tsangyao Chang (0000-0003-1738-4621, Feng Chia University), Hsu-Ling Chang, Hsu‐Ling Chang (Ling Tung University), Chi-Wei Su (0000-0001-9722-8105, Ocean University of China) |
| Year | 2013 |
| Volume | 26 |
| Issue | 2 |
| Pages | 167-176 |
| Publication date | 2013-01-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2013.11517614 |
| OpenAlex | W629289144 |
| Language | EN |
| References cited | 4 |
This study applies the threshold autoregressive model proposed by Caner and Hansen (2001) to examine both linearity and stationarity of Germany's real exchange rate vis-à-vis her 5 trading partner countries. Two main conclusions are drawn. Firstly, the empirical results indicate that Germany's real exchange is a nonlinear process. Secondly, a unit root in real exchange rate was rejected for most of the cases under study. This result provides strong support for purchasing power parity for Germany relative to their major trading partner countries
Autoregressive model · Econometrics · Economics · Exchange rate · Monetary economics · Nonlinear system · Purchasing power parity · Unit root · Economic Policies and Impacts · Global trade and economics · Mathematics · Monetary Policy and Economic Impact
| Citation velocity | historical |
|---|---|
| Highly cited | No |