We provide evidence on nonlinear mean reversion in the real exchange rates of developing and emerging market economies, using recently developed nonlinear unit root tests and a unique set of monthly data on black market exchange rates.

Mario Cerrato

Nick Sarantis

English

Research Papers in Economics

A Dynamic Equilibrium Model of Real Exchange Rates with Transaction Costs”, mimeo,

Are Asian Real Exchange Rates Stationary?”,

Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates”, IMF Working Paper,

Black Market Exchange Rates and the Long-Run PPP Hypothesis in Emerging Markets”, Discussion Paper No 03-4,

Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World&quot;,

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Heterogeneity of Beliefs and Exchange Rate Dynamics”,

Heterogeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model&quot;,

Modelling Nonlinearities in Effective Exchange Rates&quot;,

Nonlinear Adjustment to Purchasing Power Parity in the Post-Bretton Woods Era”,

Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles”,

Parallel Currency Markets in Developing Countries: Theory, Evidence and Policy Implications.

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Purchasing Power Parity and the Real Exchange Rate”,

Testing for a Unit Root in the Nonlinear STAR Framework”,

Tests for Symmetric and Asymmetric Nonlinear mean reversion in Real Exchange Rates”,

The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity”,

Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation&quot;,

Unit Root Tests in ARMA Models with Data Dependent Methods for Selection of the Truncation Lag”,

Nonlinear Mean Reversion in Real Exchange Rates: Evidence from Developing and Emerging Market Economies

http://www.accessecon.com/pubs/EB/2006/Volume6/EB-06F30004A.pdf

Nonlinear Mean Reversion in Real Exchange Rates: Evidence from Developing and Emerging Market Economies

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Research Papers in Economics