Recent studies on general equilibrium models with transaction costs show that the dynamics of the real exchange rate are necessarily nonlinear. Our contribution to the literature on nonlinear price adjustment mechanisms is treefold. First, we model the real exchange rate by a Multi-Regime...

Understanding and measuring the relative roles of different causal channels between commodity prices and exchange rates has important implications in financial decision making, especially for market participants with short horizons. From a macroeconomic perspective, this can also be useful for...

Several recent papers have underlined the importance of the microstructure effects in understanding exchange rate behavior by documenting stable long-run relationships between cumulated order flows and spot exchange rates. This stands in contrast to the widely-studied failure of exchange rates...

Data revisions in macroeconomic time series are typically studied in isolation ignoring the joint behaviour of revisions across different series. This ignores (i) the possibility that early releases of some series may help forecast revisions in other series and (ii) the problems statitical...

A well-documented property of the Beveridge-Nelson trend-cycle decomposition is the perfect negative correlation between trend and cycle innovations. We show how this may be consistent with a structural model where trend shocks enter the cycle, or cycle shocks enter the trend and that...

In this paper, we investigate whether seasonal adjustment procedures are, at least approximately, linear data transformations. This question is important with respect to many issues including estimation of regression models with seasonally adjusted data. We focus on the X-11 program and first...

This paper uses estimation techniques related to those of Galbraith and Zinde-Walsh (2000) for ARCH and GARCH models, based on realized volatility (Andersen and Bollerslev 1998, and others), to estimate the conditional quantiles of daily volatility in samples of equity index and foreign exchange...

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We study this link using two notions of temporal dependence: β−mixing and ρ−mixing. Weshow that β−mixing and ρ−mixing with exponential decay are essentially equivalent...

This paper investigates nonlinear features of FX volatility dynamics using estimates of daily volatility based on the sum of intraday squared returns. Measurement errors associated with using realized volatility to measure ex post latent volatility imply that standard time series models of the...

Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor...