178
Views
8
CrossRef citations to date
0
Altmetric
Original Articles

The purchasing power parity hypothesis in Turkey: evidence from nonlinear STAR error correction models

Pages 307-311 | Published online: 25 Feb 2008

References

  • Andrews , DW . 1991 . Heteroskedasticity and autocorrelation consistent covariance matrix estimation . Econometrica , 59 : 817 – 54 .
  • Berument , H . 2007 . Measuring monetary policy for a small open economy: Turkey . Journal of Macroeconomics , 29 : 411 – 30 .
  • Campbell , JY and Perron , P . 1991 . “ Pitfalls and opportunities: what macroeconomists should know about unit roots ” . In NBER Macroeconomics Annual 1991 , Edited by: Blanchard , OJ and Fischer , S . 141 – 201 . Cambridge, MA : MIT Press .
  • Dickey , DA and Fuller , WA . 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
  • Engle , R and Granger , C . 1987 . Co-integration and error correction: representation, estimation and testing . Econometrica , 55 : 251 – 76 .
  • Erlat , H . 2004 . Unit roots or nonlinear stationarity in Turkish real exchange rates . Applied Economics Letters , 11 : 645 – 50 .
  • Kapetanios , G , Shin , Y and Snell , A . 2003a . Testing for cointegration in nonlinear STAR error correction models, Working Paper No. 492 , Department of Economics, Queen Mary College, University of London .
  • Kapetanios , G , Shin , Y and Snell , A . 2003b . Testing for a unit root in the nonlinear STAR framework . Journal of Econometrics , 112 : 359 – 79 .
  • Michael , P , Nobay , RA and Peel , DA . 1997 . Transactions costs and nonlinear adjustment in real exchange rates: an empirical investigation . Journal of Political Economy , 105 : 862 – 79 .
  • Luukkonen , R , Saikkonen , P and Terasvirta , T . 1988 . Testing linearity against smooth transition autoregressive models . Biometrika , 73 : 491 – 9 .
  • Phillips , PC . 1987 . Time series regression with a unit root . Econometrica , 55 : 277 – 302 .
  • Phillips , PC and Ouliaris , S . 1990 . Asymptotic properties of residual based tests for cointegration . Econometrica , 58 : 165 – 93 .
  • Phillips , PC and Perron , P . 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 46 .
  • Said , S and Dickey , DA . 1984 . Testing for unit roots in autoregressive-moving average models of unknown order . Biometrika , 71 : 599 – 607 .
  • Sarno , L . 2000 . Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980–1997 . Applied Economics Letters , 7 : 285 – 91 .
  • Sarno , L and Taylor , MP . 2002 . Purchasing power parity and the real exchange rate . IMF Staff Papers , 49 : 65 – 105 .
  • Sercu , P , Uppal , R and Van Hulle , C . 1995 . The exchange rate in the presence of transaction costs: implications for tests of purchasing power parity . Journal of Finance , 50 : 1309 – 19 .
  • Taylor , MP . 1988 . An empirical examination of long-run purchasing power parity using cointegration techniques . Applied Economics , 20 : 1369 – 81 .
  • Taylor , MP . 2003 . Purchasing power parity . Review of International Economics , 11 : 436 – 52 .
  • Taylor , MP , Peel , DA and Sarno , L . 2001 . Nonlinear mean-reversion in real exchange rates: towards a solution to the purchasing power parity puzzles . International Economic Review , 42 : 1015 – 42 .
  • Taylor , AM and Taylor , MP . 2004 . The purchasing power parity debate source . Journal of Economic Perspectives , 18 : 135 – 58 .
  • Telatar , E and Kazdagli , H . 1998 . Re-examine the long-run purchasing power parity hypothesis for a high inflation country: the case of Turkey . Applied Economics Letters , 5 : 51 – 3 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.