Previous research that employed bilateral trading data in analyzing the impact of exchange rate volatility on real trading volume has yielded mixed results. Thus, it is possible that the effects are non-linear. This paper uses a threshold regression model proposed by Hansen (1999) to examine...

This paper employs smooth transition autoregressive (STAR) models to investigate the nonlinear effect of monetary policy on stock returns. The change in the Federal funds rate is used as an endogenous measure of monetary policy, and the growth rate of industrial production is also considered in...