Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates

Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates
This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences in magnitudes, frequencies, and durations of the... READ MORE...

Publication date: July 2003
ISBN 9781451857696
$15.00

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