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Macroeconomic fundamentals and exchange rates: a non-parametric cointegration analysis

✍ Scribed by Davradakis, Emmanuel

Book ID
121721561
Publisher
Taylor and Francis Group
Year
2005
Tongue
English
Weight
150 KB
Volume
15
Category
Article
ISSN
0960-3107

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✍ Paul De Grauwe; Isabel Vansteenkiste πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 234 KB

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