01804cas a2200253 a 4500 AALejournalIMF008517 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451859218 1018-5941 BD-DhAAL BD-DhAAL Leon, Gene. Time-Varying Thresholds : An Application to Purchasing Power Parity / Gene Leon, Serineh Najarian. Washington, D.C. : International Monetary Fund, 2003. 1 online resource (33 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper introduces a time-varying threshold autoregressive model (TVTAR), which is used to examine the persistence of deviations from PPP. We find support for the stationary TVTAR against the unit root hypothesis; however, for some developing countries, we do not reject the TVTAR with a unit root in the corridor regime. We calculate magnitudes, frequencies, and durations of the deviations of exchange rates from forecasted changes in exchange rates. A key result is asymmetric adjustment. In developing countries, the average cumulative deviation from forecasts during periods when exchange rates are below forecasts is twice the corresponding measure during periods when exchange rates are above forecasts. Mode of access: Internet Najarian, Serineh. IMF Working Papers; Working Paper ; No. 2003/181 Full text available on IMF http://elibrary.imf.org/view/journals/001/2003/181/001.2003.issue-181-en.xml IMF e-Library