REAL EXCHANGE RATE WITH NONLINEAR THRESHOLD EFFECT

Autor:	Tsangyao Chang, Hsu-Ling Chang, Chi WeiSu
Jazyk:	angličtina
Rok vydání:	2013
Předmět:	Non-linear Threshold Unit-root Test Linearity and Stationarity Purchasing Power Parity test jediničnog korijena nelinearnog efekta praga linearnost i stacionarnost paritet kupovne moći
Zdroj:	Economic research-Ekonomska istraživanja Volume 26 Issue 2
ISSN:	1848-9664 1331-677X
Popis:	This study applies the threshold autoregressive model proposed by Caner and Hansen (2001) to examine both linearity and stationarity of Germany’s real exchange rate vis-à-vis her 5 trading partner countries. Two main conclusions are drawn. Firstly, the empirical results indicate that Germany’s real exchange is a nonlinear process. Secondly, a unit root in real exchange rate was rejected for most of the cases under study. This result provides strong support for purchasing power parity for Germany relative to their major trading partner countries. Ovaj rad koristi TAR autoregresijski model kojeg su osmislili Caner i Hansen (2001) za istraživanje linearnosti i stacionarnosti njemačke realne tečajne stope u odnosu na njenih 5 zemalja trgovinskih partnera. Donose se dva glavna zaključka. Prvo, empirijski rezultati ukazuju na to da je njemački realni tečaj nelinearni proces. Drugo, jedinični korijen u realnoj tečajnoj stopi je odbačen za većinu istraženih slučajeva. Takav rezultat snažno podupire paritet kupovne moći za Njemačku u odnosu na njene glavne trgovinske partnere
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od_______951::9a2f5ea436a9f059d30c10700af50ce2 https://hrcak.srce.hr/104033 Zobrazit plný text záznamu