Are real exchange rates nonlinear with a unit root? Evidence on PPP for Italy : a note

Narayan, Paresh and Narayan, Seema 2007, Are real exchange rates nonlinear with a unit root? Evidence on PPP for Italy : a note, Applied economics, vol. 39, no. 19, pp. 2483-2488.

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Title Are real exchange rates nonlinear with a unit root? Evidence on PPP for Italy : a note
Author(s) Narayan, Paresh
Narayan, Seema
Journal name Applied economics
Volume number 39
Issue number 19
Start page 2483
End page 2488
Publisher Routledge
Place of publication Abingdon, England
Publication date 2007-10
ISSN 0003-6846
1466-4283
Keyword(s) threshold autoregression model
real exchange rates
Summary In this article, we apply the recently developed threshold autoregression model to examine both linearity and stationarity of Italy's real exchange rate vis--vis her six trading partner (G6) countries. Our main finding is that Italy's real exchange rate is a nonlinear process that is not characterized by a unit root process for five of six trading partner countries. This provides strong support for purchasing power parity.
Language eng
Field of Research 140305 Time-Series Analysis
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2007, Routledge; Informa
Persistent URL http://hdl.handle.net/10536/DRO/DU:30007765

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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