We investigate the persistence of real exchange rates using Bayesian methods. First, an algorithm for Bayesian estimation of nonlinear threshold models is developed. Unlike standard grid-based estimation, the Bayesian approach fully captures joint parameter uncertainty and uncertainty about...

We investigate the persistence of real exchange rates using Bayesian methods. First, an algorithm for Bayesian estimation of nonlinear threshold models is developed. Unlike standard grid-based estimation, the Bayesian approach fully captures joint parameter uncertainty and uncertainty about...

This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the...

We investigate the time series properties of both filtered and unfiltered real exchange rate series produced by DSGE models that feature local currency pricing, home bias, nontraded goods, and incomplete markets. Detrended series produced by several specifications approach the empirically...

We investigate the persistence of real exchange rates using Bayesian methods. First, an algorithm for Bayesian estimation of nonlinear threshold models is developed. Unlike standard grid-based estimation, the Bayesian approach fully captures joint parameter uncertainty and uncertainty about...