a r t i c l e i n f o JEL classification: C10 C12 C22 C50 Keywords: (Nonlinear) unit root test Heteroskedasticity Wild bootstrapping Purchasing power parity In spite of the extensive research which has already been undertaken, the issue as to whether Purchasing Power Parity (PPP) empirically holds, continues to be strongly debated. Existing studies have been criticized for their reliance on uni...

We propose a dynamic general equilibrium model of exchange rate determination that accounts for all major puzzles, including Meese-Rogoff, Backus-Smith, purchasing power parity, and uncovered interest parity puzzles. build on standard international real business cycle with home bias in consumption, augmented shocks the financial market result volatile near-martingale behavior rates ensure their...

Kazakhstan's export relies heavily on oil and other natural resources. Therefore, fluctuations in world prices have important consequences for economy. The effect of the real exchange rate is very economies trying to develop sectors as well gas such Kazakhstan. purpose this study examine possible asymmetric relationships between effective Kazakhstan period January 2010-December 2020. For purpos...

This study applies a Markov switching error correction model to describe the single most important real exchange rate (Deutsche mark versus US dollar) over flexible rates period from 1973 2004. We show an alternative way of modelling non-linear adjustment purchasing power parity (PPP) besides standard threshold models. The merges two possible sources non-linearity by additionally allowing proba...