Bailliu, Jeannine; Dib, Ali; Kano, Takashi; Schembri, … - In: The North American Journal of Economics and Finance 27 (2014) C, pp. 68-87
The purpose of this paper is to examine the role of multilateral adjustment to U.S. external imbalances in driving bilateral real exchange rate movements by developing a new regime-switching model that consists of a Markov-switching model with a time-varying transition matrix that depends on a...