EconPapers    
Economics at your fingertips  
 

Nonlinear Exchange Rate Adjustment in the Enlarged Eurozone: Evidence and Implications for Candidate Countries

Nikolaos Giannellis () and Athanasios Papadopoulos ()

Review of International Economics, 2010, vol. 18, issue 4, 741-757

Abstract: This paper sheds light on the importance of the validity of PPP hypothesis for the accessing process of the candidate countries towards EMU. The evidence of nonlinear adjustment in real exchange rates suggests the estimation of a nonlinear SETAR model. While linear half‐life estimates are biased upward (five years on average), SETAR half‐life estimates imply a faster reverting process (1.5 years on average). Moreover, we found that TPI‐based real exchange rates are more appropriate than CPI‐based real exchange rates in testing for PPP hypothesis. For the cluster of EMU countries and for the pre‐EMU period, our nonlinear model confirms stationarity for the majority of the TPI‐based real exchange rates with half‐life estimates less than a year.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/j.1467-9396.2010.00895.x

Related works:
Working Paper: Nonlinear Exchange Rate Adjustment in the Enlarged Eurozone. Evidence and Implications for Candidate Countries (2007) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:reviec:v:18:y:2010:i:4:p:741-757

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0965-7576

Access Statistics for this article

Review of International Economics is currently edited by E. Kwan Choi

More articles in Review of International Economics from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2021-03-28
Handle: RePEc:bla:reviec:v:18:y:2010:i:4:p:741-757