هزینه های مرزی و پویایی نرخ ارز واقعی در اروپا
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|8461||2001||8 صفحه PDF||سفارش دهید||محاسبه نشده|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Policy Modeling, Volume 23, Issue 6, August 2001, Pages 669–676
In the purchasing power parity (PPP) literature, it was traditionally assumed that transaction costs were incompatible with strong PPP or, alternatively, stationary real exchange rates (RERs). In recent years, however, the role of transaction costs has been reformulated so that they are viewed as leading to nonlinearities in RER adjustment by creating a no-arbitrage band around PPP equilibrium. A growing literature has emerged, which models nonlinearities in RER adjustment as either smooth transition autoregressive (STAR) or threshold autoregressive (TAR) processes.1 In the TAR specification adopted below, RERs are conceptualised as exhibiting persistent dynamics within a no-arbitrage band of small deviations from equilibrium but mean reverting behaviour in the outer bands where large deviations trigger profitable arbitrage activity.