Non-linear adjustment to purchasing power parity: an analysis using Fourier approximations

Research, Preprint English OPEN
Jimenez-Martín, Juan-Angel ; Robles Fernández, María Dolores (2005)
  • Publisher: Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
  • Subject: Unit-root test, Cointegration test, Fourier approximation, nonlinear model, exchange rates, purchasing power parity. | Econometría
    • jel: jel:F31 | jel:C22 | jel:C32

This paper estimates the dynamics of adjustment to long run purchasing power parity (PPP) using data for 18 mayor bilateral US dollar exchange rates, over the post-Bretton Woods period, in a non-linear framework. We use new unit root and cointegration tests that do not ... View more
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