English, Article, Journal or magazine article edition: Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era Christopher F. Baum; Mustafa Caglayan; John Barkoulas

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Bookmark: http://trove.nla.gov.au/version/74133
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Nonlinear Adjustment to Purchasing Power Parity in the post-Bretton Woods Era
Author
  • Christopher F. Baum
  • Mustafa Caglayan
  • John Barkoulas
Physical Description
  • preprint
Notes
  • This paper models the dynamics of adjustment to long-run purchasing power parity (PPP) over the post-Bretton Woods period in a nonlinear framework consistent with the presence of frictions in international trade. We estimate exponential smooth transition autoregressive (ESTAR) models of deviations from PPP using both CPI- and WPI-based measures for a broad set of U.S. trading partners. We find clear evidence of a mean-reverting dynamic process for sizable deviations from PPP, with an equilibrium tendency varying nonlinearly with the magnitude of disequilibrium.
  • purchasing power parity, ESTAR, cointegration.
  • RePEc:boc:bocoec:404
Language
  • English
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