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Nonlinear Mean Reversion in Real Exchange Rates: Evidence from Developing and Emerging Market Economies. (2006). cerrato, mario ; Sarantis, Nick .
In: Economics Bulletin.
RePEc:ebl:ecbull:eb-06f30004.

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  1. Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model. (2022). Bufalo, Michele ; Orlando, Giuseppe.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321004888.

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  2. Empirical Investigation of Purchasing Power Parity for Turkey: Evidence from Recent Nonlinear Unit Root Tests. (2016). YILDIRIM, Dilem.
    In: ERC Working Papers.
    RePEc:met:wpaper:1604.

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  3. Real exchange rate adjustment in European transition countries. (2013). Maican, Florin ; Sweeney, Richard J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:3:p:907-926.

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  4. The impact of mean reversion model on portfolio investment strategies: Empirical evidence from emerging markets. (2013). Sevim, Serafettin ; Akarim, Yasemin Deniz .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:453-459.

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  5. The linkage between relative population growth and purchasing power parity: Cross country evidence. (2011). Salim, Ruhul ; Hassan, Kamrul .
    In: International Journal of Development Issues.
    RePEc:eme:ijdipp:v:10:y:2011:i:2:p:154-169.

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  6. Testing for Long Memory Against ESTAR Nonlinearities. (2009). Sibbertsen, Philipp ; Kuswanto, Heri.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-427.

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  7. PURCHASING POWER PARITY IN LESS?DEVELOPED AND TRANSITION ECONOMIES: A REVIEW PAPER. (2009). Hegerty, Scott ; Bahmani-Oskooee, Mohsen.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:23:y:2009:i:4:p:617-658.

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  8. Do Real Exchange Rates Follow a Nonlinear Mean Reverting Process in Developing Countries?. (2008). Kutan, Ali ; Bahmani-Oskooee, Mohsen ; Zhou, SU ; Bahmanioskooee, Mohsen.
    In: Southern Economic Journal.
    RePEc:wly:soecon:v:74:y:2008:i:4:p:1049-1062.

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  9. Do budget deficits follow a linear or non-linear path?. (2007). Bahmani, Sahar.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-07e60005.

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References

References cited by this document

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  6. Dumas, B., 1992, Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World, Review of Financial Studies, 5, 153-180.

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  15. Sarantis, N., 1999, Modelling Nonlinearities in Effective Exchange Rates, Journal of International Money and Finance, 18, 27-45.
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  19. Taylor, M.P., Peel, D. A. and Sarno, L., 2001, “Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles”, International Economic Review, 42, 1015-1042.

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  5. Does PPP hold in African countries? Further evidence based on a highly dynamic non-linear (logistic) unit root test. (2006). Chang, Tsangyao ; Su, Chi-Wei ; Chu, Hsiao-Ping .
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  10. Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment. (2006). Peel, David ; Paya, Ivan.
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