Exchange rates and fundamentals: a non-l
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Paul De Grauwe; Isabel Vansteenkiste
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Article
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2007
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John Wiley and Sons
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English
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We test whether the relationship between changes in the nominal exchange rate and changes in its underlying fundamentals has non-linear features. In order to do so, we extend the Markov-switching model as proposed by McConnell and Perez Quiros (2000) and Dewachter ( 2001) and test it using a sample