Skip to main content

Are real exchange rates nonlinear with a unit root? Evidence on PPP for Italy: a note

Buy Article:

$53.17 plus tax (Refund Policy)


In this article, we apply the recently developed threshold autoregression model to examine both linearity and stationarity of Italy's real exchange rate vis-à-vis her six trading partner (G6) countries. Our main finding is that Italy's real exchange rate is a nonlinear process that is not characterized by a unit root process for five of six trading partner countries. This provides strong support for purchasing power parity.

Document Type: Research Article


Affiliations: 1: School of Accounting, Economics and Finance, Faculty of Business and Law, Deakin University, Victoria 3125, Australia 2: Centre for Policy Studies, Monash University, Melbourne, Australia

Publication date: October 1, 2007

More about this publication?

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Partial Open Access Content
Partial Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more