We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Are Nominal Exchange Rates and Price Levels Co-Integrated? New Evidence from Threshold Autoregressive and Momentum-Threshold Autoregressive Models.
- Authors
NARAYAN, PARESH KUMAR
- Abstract
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.
- Subjects
FOREIGN exchange rates; U.S. dollar; MONETARY policy; ECONOMIC indicators; FOREIGN exchange; ECONOMIC policy; INTERNATIONAL finance; INTERNATIONAL competition; INTERNATIONAL economic relations
- Publication
Economic Record, 2007, Vol 83, Issue 260, p74
- ISSN
0013-0249
- Publication type
Article
- DOI
10.1111/j.1475-4932.2007.00377.x