Revisiting purchasing power parity for G-7 countries using nonparametric rank test for cointegration

References

• Basher , S. A. and Haug , A. A. 2011 . Linear or nonlinear cointegration in the purchasing power parity? . Applied Economics , 43 : 185 – 96 .
   Web of Science ®Google Scholar
• Breitung , J. 2001 . Rank tests for nonlinear cointegration . Journal of Business and Economic Statistics , 19 : 331 – 40 .
   Web of Science ®Google Scholar
• Chang , T. , Liu , W. C. , Tzeng , H. W. and Yu , C. P. 2010 . Purchasing power parity in G-7 countries: panel SURADF tests . Applied Economics Letters , 17 : 1223 – 8 .
   Web of Science ®Google Scholar
• Holmes , M. J. 2001 . New evidence on real exchange rate stationarity and purchasing power parity in less developed countries . Journal of Macroeconomics , 23 : 601 – 14 .
   Web of Science ®Google Scholar
• Juvenal , L. and Taylor , M. P. 2008 . Threshold adjustment of deviations from the law of one price . Studies in Nonlinear Dynamics and Econometrics , 12 : 1 – 44 . Article 8
   Web of Science ®Google Scholar
• Kapetanios , G. , Shin , Y. and Snell , A. 2003 . Testing for a unit root in the nonlinear STAR framework . Journal of Econometrics , 112 : 359 – 79 .
   Web of Science ®Google Scholar
• Kilian , L. and Taylor , M. P. 2003 . Why is it so difficult to beat the random walk forecast of exchange rates? . Journal of International Economics , 60 : 85 – 107 .
   Web of Science ®Google Scholar
• Lothian , J. R. and Taylor , M. P. 1996 . Real exchange rate behavior: the recent float from the perspective of the past two centuries . Journal of Political Economy , 104 : 488 – 509 .
   Web of Science ®Google Scholar
• Lothian , J. R. and Taylor , M. P. 2000 . Purchasing power parity over two centuries: strengthening the case for real exchange rate stability – a reply to Cuddington and Liang . Journal of International Money and Finance , 19 : 759 – 64 .
   Web of Science ®Google Scholar
• MacDonald , R. and Taylor , M. P. 1992 . Exchange-rate economics – a survey . International Monetary Fund Staff Papers , 39 : 1 – 57 .
   Google Scholar
• Stock , J. H. and Watson , M. W. 1993 . A simple estimator of cointegrating vectors in higher order integrated systems . Econometrica , 61 : 783 – 820 .
   Web of Science ®Google Scholar
• Taylor , A. M. and Taylor , M. P. 2004 . The purchasing power parity debate . Journal of Economic Perspectives , 18 : 135 – 58 .
   Web of Science ®Google Scholar
• Taylor , M. P. 1988 . An empirical-examination of long-run purchasing power parity using cointegration techniques . Applied Economics , 20 : 1369 – 81 .
   Web of Science ®Google Scholar
• Taylor , M. P. 1995 . The economics of exchange-rates . Journal of Economic Literature , 1 : 13 – 47 .
   Google Scholar
• Taylor , M. P. 2006 . Real exchange rates and purchasing power parity: mean-reversion in economic thought . Applied Financial Economics , 16 : 1 – 17 .
   Google Scholar
• Taylor , M. P. and McMahon , P. C. 1988 . Long-run purchasing power parity in the 1920s . European Economic Review , 32 : 179 – 97 .
   Web of Science ®Google Scholar
• Taylor , M. P. and Peel , D. A. 2000 . Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals . Journal of International Money and Finance , 19 : 33 – 53 .
   Web of Science ®Google Scholar
• Taylor , M. P. , Peel , D. A. and Sarno , L. 2001 . Nonlinear mean-reversion in real exchange rates: toward a solution to the purchasing power parity puzzles . International Economic Review , 42 : 1015 – 42 .
   Web of Science ®Google Scholar
• Taylor , M. P. and Sarno , L. 1998 . The behavior of real exchange rates during the post-Bretton Woods period . Journal of International Economics , 46 : 281 – 312 .
   Web of Science ®Google Scholar