The purpose of this note is to present some further empirical results on the validity of the martingale property using post-war data for mine countries. The major novelty in the note is that we address four issues which have received little or no attention in previous empirical studies.

Exchange rate theory has recently been concerned with versions of the uncovered interest rate parity (UIP) condition, as an alternative to purchasing power parity. The UIP condition is examined, for the U.S. Dollar, the Deutschemark, the Yen, and the Swiss Franc all against the Pound Sterling,...

In this paper we use a Threshold AutoRegressive (TAR) model to capture the nonlinear dynamics of monthly real effective exchange rate data for the G7 countries. The novelty of our approach relates to the use of the real interest differential as the switching variable. This choice allows us to...