Backus David K. and Smith Gregor W. (1993) Consumption and real exchange rates in dynamic economies with non-traded goods.
Journal of International Economics
Balassa Béla (1964) The purchasing power parity doctrine: A reappraisal.
Journal of Political Economy
Benigno Gianluca and Thoenissen Christoph (2008) Consumption and real exchange rates with incomplete markets and non-traded goods.
Journal of International Money and Finance
Bombardini Matilde and Trebbi Francesco (2012) Risk aversion and expected utility theory: An experiment with large and small stakes.
Journal of the European Economic Association
Chari Varadarajan V., Kehoe Patrick J., and McGrattan Ellen R. (2002) Can sticky price models generate volatile and persistent real exchange rates?
Review of Economic Studies
Chetty Raj (2006) A new method of estimating risk aversion.
American Economic Review
Dmitriev Alexandre and Krznar Ivo (2012) Habit persistence and international comovements.
Dumas Bernard (1992) Dynamic equilibrium and the real exchange rate in a spatially separated world.
Review of Financial Studies
Granger Clive W. J. and Teräsvirta Timo (1993) Modelling Nonlinear Economic Relationships. Oxford, UK: Oxford University Press.
Head Allen C., Mattina Todd D., and Smith Gregor W. (2004) Real exchange rates, preferences, and incomplete markets: Evidence, 1961–2001. Canadian Journal of Economics
Johansen Søren (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica
Kilian Lutz and Taylor Mark P. (2001) Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates. Working paper series 088, European Central Bank.
King Robert G., Plosser Charles I., and Rebelo Sergio T. (1988) Production, growth and business cycles, I. The basic neoclassical model. Journal of Monetary Economcis
Kollmann Robert (1995) Consumption, real exchange rates and the structure of international asset markets. Journal of International Money and Finance
Kollmann Robert (2012) Limited asset market participation and the consumption-real exchange rate anomaly. Canadian Journal of Economics
Koop Gary, Pesaran M. Hashem, and Potter Simon M. (1996) Impulse response analysis in nonlinear multivariate models. Journal of Econometrics
Layard Richard, Mayraz Guy, and Nickell Stephen (2008) The marginal utility of income. Journal of Public Economics
Li Nan (2014) Transaction costs, nonfundamental uncertainty, and the exchange rate disconnect. Macroeconomic Dynamics
Lothian James R. and Taylor Mark P. (2008) Real exchange rates over the past two centuries: How important is the Harrod-Balassa-Samuelson effect?
Michael Panos, Nobay A. Robert, and Peel David A. (1997) Transactions costs and nonlinear adjustment in real exchange rates: An empirical investigation. Journal of Political Economy
Mussa Michael L. (1986) Nominal exchange rate regimes and the behaviour of real exchange rates: Evidence and implications. Carnegie-Rochester Conference Series on Public Policy
Pavlidis Efthymios G., Paya Ivan, and Peel David A. (2015) Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation. Economics Letters
Paya Ivan and Peel David A. (2006) A new analysis of the determinants of the real dollar-sterling exchange rate: 1871–1994.
Journal of Money, Credit and Banking
Rogoff Kenneth S. (1996) The purchasing power parity puzzle.
Journal of Economic Literature
Samuelson Paul (1964) Theoretical notes on trade problems.
Review of Economics and Statistics
Taylor Mark P. and Kilian Lutz (2003) Why is it so difficult to beat the random walk forecast of exchange rates?
Journal of International Economics
Taylor Mark P., Peel David A., and Sarno Lucio (2001) Nonlinear mean-reversion in real exchange rates: toward a solution to the purchasing power parity puzzles.
International Economic Review
Teräsvirta Timo (1994) Specification, Estimation, and evaluation of smooth transition autoregressive models.
Journal of the American Statistical Association
Wada Tatsuma (2014) The role of transitory and persistent shocks in the consumption correlation and international comovement puzzles. Macroeconomic Dynamics