هزینه های مرزی و پویایی نرخ ارز واقعی در اروپا

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.