Series: IMF Working Papers
Author(s): Gene Leon , and Serineh Najarian
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 September 2003
Keywords: exchange rate, exchange rates, nonlinearity, real exchange rate, statistics, time-varying thresholds, asymmetry,
This paper introduces a time-varying threshold autoregressive model (TVTAR), which is used to examine the persistence of deviations from PPP. We find support for the stationary TVTAR against the unit root hypothesi...