Functional Coefficient Cointegration Models Subject to Time–Varying Volatility with an Application to the Purchasing Power Parity

Oxford Bulletin of Economics and Statistics ◽

10.1111/obes.12309 ◽

2019 ◽

Vol 81 (6) ◽

pp. 1401-1423 ◽

Author(s):

Yundong Tu ◽

Ying Wang

Keyword(s):

Purchasing Power Parity ◽

Purchasing Power ◽

Time Varying ◽

Power Parity ◽

Functional Coefficient

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Empirical test for purchasing power parity using a time-varying parameter model: Japan and Korea cases

Applied Economics Letters ◽

10.1080/13504851.2012.689109 ◽

2013 ◽

Vol 20 (6) ◽

pp. 525-529 ◽

Author(s):

Hyung-Gun Kim ◽

Sang Young Jei

Keyword(s):

Purchasing Power Parity ◽

Empirical Test ◽

Purchasing Power ◽

Time Varying ◽

Power Parity ◽

Time Varying Parameter

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Time-Varying Thresholds: An Application to Purchasing Power Parity

IMF Working Papers ◽

10.5089/9781451859218.001 ◽

2003 ◽

Vol 03 (181) ◽

pp. 1 ◽

Author(s):

H. L. Leon ◽

Serineh Najarian ◽

◽

Keyword(s):

Purchasing Power Parity ◽

Purchasing Power ◽

Time Varying ◽

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The purchasing power parity of Southeast Asian currencies: A time-varying coefficient approach

Economic Modelling ◽

10.1016/j.econmod.2008.05.009 ◽

2009 ◽

Vol 26 (1) ◽

pp. 96-106 ◽

Author(s):

Bong-Han Kim ◽

Hong-Kee Kim ◽

Keun-Yeob Oh

Keyword(s):

Purchasing Power Parity ◽

Southeast Asian ◽

Purchasing Power ◽

Time Varying ◽

Power Parity ◽

Varying Coefficient

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Testing Purchasing Power Parity in Cambodia: Time-Varying Trade Weights in Constructing Real Effective Exchange Rate

International Journal of Economics and Financial Issues ◽

10.32479/ijefi.10543 ◽

2021 ◽

Vol 11 (3) ◽

pp. 146-153

Author(s):

Siphat Lim

Keyword(s):

Exchange Rate ◽

Purchasing Power Parity ◽

Real Effective Exchange Rate ◽

Purchasing Power ◽

Time Varying ◽

Power Parity ◽

Effective Exchange ◽

Effective Exchange Rate

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Purchasing power parity vs. uncovered interest rate parity for NAFTA countries: The value of incorporating time-varying parameter model

Economic Modelling ◽

10.1016/j.econmod.2019.11.034 ◽

2020 ◽

Vol 90 ◽

pp. 494-500

Author(s):

Jong Cheol Yoon ◽

Dai Hong Min ◽

Sang Young Jei

Keyword(s):

Interest Rate ◽

Purchasing Power Parity ◽

Purchasing Power ◽

Time Varying ◽

Power Parity ◽

Interest Rate Parity ◽

Uncovered Interest Rate Parity ◽

Time Varying Parameter ◽

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Revisiting purchasing power parity in G6 countries: an application of smooth time-varying cointegration approach

Empirica ◽

10.1007/s10663-016-9355-1 ◽

2016 ◽

Vol 45 (1) ◽

pp. 187-196 ◽

Author(s):

Jingfei Wu ◽

Mohsen Bahmani-Oskooee ◽

Tsangyao Chang

Keyword(s):

Purchasing Power Parity ◽

Purchasing Power ◽

Time Varying ◽

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Empirical test of purchasing power parity using a time-varying cointegration model for China and the UK

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2019.01.072 ◽

2019 ◽

Vol 521 ◽

pp. 41-47 ◽

Author(s):

Jong Cheol Yoon ◽

Dai Hong Min ◽

Sang Young Jei

Keyword(s):

Purchasing Power Parity ◽

Empirical Test ◽

Purchasing Power ◽

Time Varying ◽

Power Parity ◽

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Time-Varying Thresholds: An Application to Purchasing Power Parity

SSRN Electronic Journal ◽

10.2139/ssrn.880259 ◽

2003 ◽

Author(s):

Hyginus Leon ◽

Serineh Najarian

Keyword(s):

Purchasing Power Parity ◽

Purchasing Power ◽

Time Varying ◽

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A Test of Purchasing Power Parity Efficiency in Vietnam and Other Southeastern Asian Countries

SSRN Electronic Journal ◽

10.2139/ssrn.3020555 ◽

2017 ◽

Author(s):

Thuy Tien Ho ◽

Pham Thu Hong ◽

Hoai Thu Ho

Keyword(s):

Purchasing Power Parity ◽

Purchasing Power ◽

Asian Countries ◽

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Evidence of Purchasing Power Parity for the Floating Regime Period

SSRN Electronic Journal ◽

10.2139/ssrn.490162 ◽

2006 ◽

Author(s):

Claude Lopez

Keyword(s):

Purchasing Power Parity ◽

Purchasing Power ◽

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