haku: @author Baum, C. F. / yhteensä: 3
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| Tekijä: | Baum, C. F. Barkoulas, J. T. Caglayan, M. |
| Otsikko: | Nonlinear adjustment to purchasing power parity in the post-Bretton woods era |
| Lehti: | Journal of International Money and Finance
2001 : JUN, VOL. 20:3, p. 379-399 |
| Asiasana: | COINTEGRATION INTERNATIONAL TRADE PURCHASING POWER PARITY |
| Vapaa asiasana: | ESTAR |
| Kieli: | eng |
| Tiivistelmä: | This paper models the dynamics of adjustment to long-run purchasing power parity (PPP) over the post-Bretton Woods period in a nonlinear framework consistent with the presence of frictions in international trade. The authors estimate exponential smooth transition autoregressive (ESTAR) models of deviation from PPP, which are obtained using the Johansen cointegration method, for both consumer price index (CPI) and wholesale price index (WPI) based measured and a broad set of US trading partners. |
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