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Investigating nonlinearities in real exchange rate adjustment: Threshold cointegration and the dynamics of exchange rates and relative prices

✍ Scribed by Hironobu Nakagawa

Book ID
116659052
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
665 KB
Volume
29
Category
Article
ISSN
0261-5606

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## Abstract This paper investigates the existence of threshold cointegration between real exchange rates and real interest rate differentials. Unlike previous work, which generally fails to find evidence of a long‐run relationship employing linear models, we employ tests of the null hypothesis of n