Are real exchange rates nonlinear with a unit root? Evidence on PPP for Italy: A note

Narayan, S and Narayan, P 2007, 'Are real exchange rates nonlinear with a unit root? Evidence on PPP for Italy: A note', Applied Economics, vol. 39, no. 19, pp. 2483-2488.


Document type: Journal Article
Collection: Journal Articles

Title Are real exchange rates nonlinear with a unit root? Evidence on PPP for Italy: A note
Author(s) Narayan, S
Narayan, P
Year 2007
Journal name Applied Economics
Volume number 39
Issue number 19
Start page 2483
End page 2488
Total pages 6
Publisher Routledge
Abstract In this article, we apply the recently developed threshold autoregression model to examine both linearity and stationarity of Italy's real exchange rate vis--vis her six trading partner (G6) countries. Our main finding is that Italy's real exchange rate is a nonlinear process that is not characterized by a unit root process for five of six trading partner countries. This provides strong support for purchasing power parity.
Subject International Economics and International Finance
Keyword(s) Threshold autoregression model
real exchange rates
DOI - identifier 10.1080/00036840600606369
Copyright notice © 2007 Taylor & Francis
ISSN 0003-6846
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Citation counts: TR Web of Science Citation Count  Cited 6 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 6 times in Scopus Article | Citations
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