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David K. Backus and Gregor W. Smith (1993) Consumption and real exchange rates in dynamic economies with non-traded goods.
Journal of International Economics
Béla Balassa (1964) The purchasing power parity doctrine: A reappraisal.
Journal of Political Economy
Gianluca Benigno and Christoph Thoenissen (2008) Consumption and real exchange rates with incomplete markets and non-traded goods.
Journal of International Money and Finance
Matilde Bombardini and Francesco Trebbi (2012) Risk aversion and expected utility theory: An experiment with large and small stakes.
Journal of the European Economic Association
Varadarajan V. Chari , Patrick J. Kehoe , and Ellen R. McGrattan (2002) Can sticky price models generate volatile and persistent real exchange rates?
Review of Economic Studies
Raj Chetty (2006) A new method of estimating risk aversion.
American Economic Review
Alexandre Dmitriev and Ivo Krznar (2012) Habit persistence and international comovements.
Bernard Dumas (1992) Dynamic equilibrium and the real exchange rate in a spatially separated world.
Review of Financial Studies
Allen C. Head , Todd D. Mattina , and Gregor W. Smith (2004) Real exchange rates, preferences, and incomplete markets: Evidence, 1961–2001. Canadian Journal of Economics
Søren Johansen (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica
Robert G. King , Charles I. Plosser , and Sergio T. Rebelo (1988) Production, growth and business cycles, I. The basic neoclassical model. Journal of Monetary Economcis
Robert Kollmann (1995) Consumption, real exchange rates and the structure of international asset markets. Journal of International Money and Finance
Robert Kollmann (2012) Limited asset market participation and the consumption-real exchange rate anomaly. Canadian Journal of Economics
Gary Koop , M. Hashem Pesaran , and Simon M. Potter (1996) Impulse response analysis in nonlinear multivariate models. Journal of Econometrics
Richard Layard , Guy Mayraz , and Stephen Nickell (2008) The marginal utility of income. Journal of Public Economics
Nan Li (2014) Transaction costs, nonfundamental uncertainty, and the exchange rate disconnect. Macroeconomic Dynamics
James R. Lothian and Mark P. Taylor (2008) Real exchange rates over the past two centuries: How important is the Harrod-Balassa-Samuelson effect?
Panos Michael , A. Robert Nobay , and David A. Peel (1997) Transactions costs and nonlinear adjustment in real exchange rates: An empirical investigation. Journal of Political Economy
Michael L. Mussa (1986) Nominal exchange rate regimes and the behaviour of real exchange rates: Evidence and implications. Carnegie-Rochester Conference Series on Public Policy
Efthymios G. Pavlidis , Ivan Paya , and David A. Peel (2015) Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation. Economics Letters
Ivan Paya and David A. Peel (2006) A new analysis of the determinants of the real dollar-sterling exchange rate: 1871–1994.
Journal of Money, Credit and Banking
Paul Samuelson (1964) Theoretical notes on trade problems.
Review of Economics and Statistics
Mark P. Taylor , David A. Peel , and Lucio Sarno (2001) Nonlinear mean-reversion in real exchange rates: toward a solution to the purchasing power parity puzzles.
International Economic Review
Timo Teräsvirta (1994) Specification, Estimation, and evaluation of smooth transition autoregressive models.
Journal of the American Statistical Association
Tatsuma Wada (2014) The role of transitory and persistent shocks in the consumption correlation and international comovement puzzles. Macroeconomic Dynamics