This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of regime-switching behavior. Two data...

A strand of exchange rate models postulate exchange rate fluctuations are driven by saddle-path dynamics and the related overshooting behavior. Using a bivariate system, the paper illustrates the relationship of the cointegration, saddle-path, and stationarity dynamics. Monte Carlo results...

This working paper was written by Yin-wong Cheung (University of California, Santa Cruz) and Ulf G. Erlandsson (Lund University).This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo...

We study the pass-through of exchange rate changes to consumer prices for the euro area by estimating vector error correction models for Germany, France, Italy, the Netherlands and Spain. Using the weights of the Harmonized Index of Consumer Prices (HICP) we compute a weighted average of the...

In this paper we analyse the price competitiveness of the Italian regions by computing the Real Effective Exchange Rate (REER) for each region, deflated by CPI and vis-à-vis the main partner countries. We use them to look for the medium-term determinants, finding significant heterogeneities in...

We estimate the effect of exchange rate movements on firm-level wages using a representative panel of manufacturing firms. We show that the direction and size of wage adjustment is shaped by the international exposure of each firm on both the sale and cost side of the balance sheet, similar to...