Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and Granger causality tests

DOI10.1515/SNDE-2016-0117OpenAlexW2767570532MaRDI QIDQ2691756

Marthinus C. Breitenbach, Mulatu F. Zerihun, Christian K. Tipoy

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0117

zbMATH Keywords

Granger causalitycross-section dependencyexchange rate misalignmentnonlinear panel vector error correction model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Economic time series analysis (91B84)

Related Items (2)

The demand for money and the real exchange rate misalignments in emerging European countries: A nonlinear approach ⋮ The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks?

Cites Work

• Unnamed Item
• Unnamed Item
• Threshold effects in non-dynamic panels: Estimation, testing, and inference
• Panel cointegration with global stochastic trends
• Testing for unit root in nonlinear heterogeneous panels
• Testing for unit roots in heterogeneous panels.
• Testing for a unit root in the nonlinear STAR framework
• Estimating long-run relationships from dynamic heterogeneous panels
• An alternative procedure to test for cointegration in STAR models
• International reserves: precautionary versus mercantilist views, theory and evidence
• Bootstrap unit root tests in panels with cross-sectional dependency
• Testing for a unit root in panels with dynamic factors
• Regime-switching cointegration
• Some cautions on the use of panel methods for integrated series of macroeconomic data
• Testing linearity against smooth transition autoregressive models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS

This page was built for publication: Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and Granger causality tests