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...

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...

This paper provides a detailed insight into the magnitude of price-level differentials among Italian regions, supplementing the data collected by Istat with information on house prices and rentals collected by Agenzia del Territorio and by the Bank of Italy and with estimates from other sources....

How does international financial integration a

We implement a quantitative empirical test of the fiscal theory of the price level (FTPL) model via indirect inference, comparing it to a standard New Keynesian model. The FTPL alternative creates a serious instability problem because it triggers a 'doom loop'in which inflation pushes up...