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Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustments
16 references·0 citing·36 second hop
Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustments (2003)Dissecting the PPP Puzzle: The Unconventi…Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? (2003)Why Are the Beveridge-Nelson …Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)Nonlinear Mean‐Reversion in R…The behavior of real exchange rates during the post-Bretton Woods period (1998)The behavior of real exchange…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation (1997)Transactions Costs and Nonlin…Searching for stationarity: Purchasing power parity under the current float (1997)Searching for stationarity: P…Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited (1997)Nonlinear Aspects of Goods-Ma…The Purchasing Power Parity Puzzle (1996)The Purchasing Power Parity P…Cointegration and speed of convergence to equilibrium (1996)Cointegration and speed of co…A panel project on purchasing power parity: Mean reversion within and between countries (1996)A panel project on purchasing…Perspectives on PPP and Long-Run Real Exchange Rates (1994)Perspectives on PPP and Long-…FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)FINITE‐SAMPLE SIZES OF JOHANS…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Macroeconomics and Reality (1980)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Testing for a Unit Root in Time Series Regression (1988)Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price (2001)Testing for two-regime threshold cointegration in vector error-correction models (2002)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Empirical exchange rate models of the seventies (1983)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Trade Policy and Economic Growth: A Skeptic's Guide to the Cross-National Evidence (2000)The New Politics of the Welfare State (2001)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Purchasing Power Parity Debate (2004)Exchange Rates and Fundamentals (2005)Multiproduct Firms and Trade Liberalization (2011)Time Series Regression with a Unit Root (1987)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)CO2 emissions, energy consumption, and output in France (2007)An econometric study of CO2 emissions, energy consumption, income and foreign trade in Turkey (2009)Convergence Across States and Regions (1991)Why is it so difficult to beat the random walk forecast of exchange rates? (2003)Testing for a unit root in panels with dynamic factors (2004)Introductory Econometrics for Finance (2008)
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References

  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 1996The Purchasing Power Parity Puzzle2,939 cited
  • 1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION1,206 cited
  • 2001Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles1,004 cited
  • 1998The behavior of real exchange rates during the post-Bretton Woods period824 cited
  • 1997Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation750 cited
  • 1994Perspectives on PPP and Long-Run Real Exchange Rates742 cited
  • 1996A panel project on purchasing power parity: Mean reversion within and between countries681 cited
  • 1997Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited560 cited
  • 2003Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?

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542 cited
  • 1996Cointegration and speed of convergence to equilibrium526 cited
  • 1997Searching for stationarity: Purchasing power parity under the current float526 cited
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