We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
PURCHASING POWER PARITY, PRODUCTIVITY DIFFERENTIALS AND NON-LINEARITY.
- Authors
WU, JYH-LIN; CHEN, PEI-FEN; LEE, CHING-NUN
- Abstract
The purpose of this paper is to apply a symmetric band threshold autoregressive model to investigate the non-linear adjustment of the real pound–dollar rate over a period from 1885 to 2003. After controlling for the Harrod–Balassa–Samuelson effects, we find evidence to support a non-linear mean reversion of the real pound–dollar rate. Moreover, the estimated half-life is about two years with large shocks. We therefore provide a solution to the purchasing power parity puzzle.
- Subjects
SYMMETRIC functions; REVERSION; PURCHASING power parity; FOREIGN exchange; INTERNATIONAL finance; PARITY; ECONOMICS
- Publication
Manchester School (1463-6786), 2009, Vol 77, Issue 3, p271
- ISSN
1463-6786
- Publication type
Article
- DOI
10.1111/j.1467-9957.2009.02097.x