Hidden Bibliographic Details
| Other authors / contributors: | Najarian, Serineh, author.
IMF Institute.
International Monetary Fund.
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| ISBN: | 1451904576
9781451904574
1462301428
9781462301423
1452740097
9781452740096
128210957X
9781282109575
9786613802460
6613802468
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| Notes: | Includes bibliographical references (pages 30-32).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | This paper introduces a time-varying threshold autoregressive model (TVTAR), which is used to examine the persistence of deviations from PPP. We find support for the stationary TVTAR against the unit root hypothesis; however, for some developing countries, we do not reject the TVTAR with a unit root in the corridor regime. We calculate magnitudes, frequencies, and durations of the deviations of exchange rates from forecasted changes in exchange rates. A key result is asymmetric adjustment. In developing countries, the average cumulative deviation from forecasts during periods when exchange rates are below forecasts is twice the corresponding measure during periods when exchange rates are above forecasts.
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| Other form: | Print version: Leon, H.L. (Hyginus Lambert). Time-varying thresholds. Washington, D.C. : International Monetary Fund, IMF Institute, ©2003
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| Standard no.: | 10.5089/9781451904574.001
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