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1、JOURNALOFTHEJAPANESEANDINTERNATIONALECONOMIES11,441±479(1997)ARTICLENO.JJ970385NonlinearAspectsofGoods-MarketArbitrageandAdjustment:Heckscher’sCommodityPointsRevisited*MauriceObstfeld²DepartmentofEconomics,UniversityofCalifornia,Berkeley,California94720-3880,NBER,andCEPRandAlanM.Taylor³D
2、epartmentofEconomics,NorthwesternUniversity,Evanston,Illinois60208-2600andNBERReceivedJanuary6,1997;revisedMay22,1997Obstfeld,Maurice,andTaylor,AlanM.ÐNonlinearAspectsofGoods-MarketArbitrageandAdjustment:Heckscher'sCommodityPointsRevisitedWeproposethatanalysisofpurchasingpowerparity(PPP)
3、andthelawofonepriceshouldexplicitlytakeintoaccountthepossibilityof``commoditypoints''Ðthresholdsdelineatingaregionofnocentraltendencyamongrelativeprices,possiblyduetolackofperfectarbitrageinthepresenceoftransactioncostsanduncertainty.Morethan80yearsago,Heckscherstressedtheimportanceofsuc
4、hincompletearbitrageintheempiricalapplicationofPPP.Wedeviseaneconometricmethodtoidentifycommoditypoints.Priceadjustmentistreatedasanonlinearprocess,andathresholdautoregressionoffersaparsimoniousspeci®cationwithin*PaperpresentedattheNBER±TCER±CEPRconference``PurchasingPowerParityRevis-ite
5、d:TheExchangeRateandPriceMovements,TheoryandEvidence,''Tokyo,December20±21,1996.WethankCharlesEngelandJohnRogersforprovidingthedatafromEngelandRogers(1995)andthankLawrenceOf®cerforbringingHeckscher'sdiscussionofcommodityimportandexportpointstoourattention.Wealsoacknowledgehelpfulcomments
6、andcriticismfromMenzieChinn,RichardClarida,MitsuhiroFukao,TakatoshiIto,ColinMcKenzie,PaulO'Connell,AxelWeber,ananonymousreferee,andparticipantsattheTokyoconferenceandattheMarch1997meetingoftheNBERInternationalFinanceandMacroeconomicsGroup.ResearchsupportwasprovidedbyagrantfromtheNational
7、ScienceFoundationadministeredbytheNationalBureauofEconomicResearch.²E-mail:obstfeld@econ.berkeley.edu.³E-mail:amt@nwu.edu.4410889-1583/97$25.00CopyrightÓ1997byAcademicPressAllrightsofreproductioninanyformreserved.442OBSTFELDANDTAYLORwhichboththresholdsandadjustmentspeedsa
