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| Philip Shively |
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| ''Threshold stationary real exchange rates: a nonlinear, multivariate approach'' |
| ( 2003, Vol. 6 No.2 ) |
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| Purchasing power parity implies that real exchange rates are stationary. However, the finding of nonstationary real exchange rates has been difficult to dismiss. Using a nonlinear, three-regime structural bivariate threshold model, this paper finds evidence of threshold stationary real exchange rates which is consistent with purchasing power parity adjusted for market frictions such as transaction costs. |
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| Keywords: |
JEL: F3 - International Finance: General
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| Manuscript Received : Apr 28 2003 | | Manuscript Accepted : May 08 2003 |
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