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Time-Varying Thresholds
			: An Application to Purchasing Power Parity

Time-Varying Thresholds : An Application to Purchasing Power Parity »

Volume/Issue: 2003/181

Series: IMF Working Papers

Author(s): Gene Leon , and Serineh Najarian

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2003

DOI: http://dx.doi.org/10.5089/9781451859218.001

ISBN: 9781451859218

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...

Time-Varying Thresholds

Time-Varying Thresholds »

Source: Time-Varying Thresholds : An Application to Purchasing Power Parity

Volume/Issue: 2003/181

Series: IMF Working Papers

Author(s): Gene Leon , and Serineh Najarian

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2003

ISBN: 9781451859218

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...