Are nominal exchange rates and price levels co-integrated? new evidence from threshold autoregressive and momentum-threshold autoregressive models

Narayan, Paresh Kumar 2007, Are nominal exchange rates and price levels co-integrated? new evidence from threshold autoregressive and momentum-threshold autoregressive models, The economic record, vol. 83, no. 260, pp. 74-85.

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Title Are nominal exchange rates and price levels co-integrated? new evidence from threshold autoregressive and momentum-threshold autoregressive models
Author(s) Narayan, Paresh Kumar
Journal name The economic record
Volume number 83
Issue number 260
Start page 74
End page 85
Publisher Wiley-Blackwell Publishing Asia
Place of publication Richmond, Vic.
Publication date 2007-03
ISSN 0013-0249
1475-4932
Summary The goal of this paper is to examine evidence for co-integration between nominal exchange rates for Canada, the UK, Japan, Germany, Italy and France (G6) vis-à-vis the US dollar, and the relative price ratios using monthly data over the period 1973:01 to 1997:04. Motivated by the fact that exchange rate adjustment may be asymmetric, we allowed for asymmetric adjustment in exchange rates by using the threshold autoregressive model and the momentum threshold autoregressive model. We do not find any evidence of a co-integrating relationship; hence, we fail to establish long-run purchasing power parity.
Language eng
Field of Research 140210 International Economics and International Finance
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2007, The Economic Society of Australia
Persistent URL http://hdl.handle.net/10536/DRO/DU:30018605

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