In this article, we investigate the presence of a long-run money demand in a selected group of nine developed OECD countries (G7 plus Australia and Switzerland). Our estimations are based on panel DOLS and between-dimension group-mean panel DOLS introduced by Mark and Sul (2003) and Pedroni...

In this article we examine the sensitivity of the foreign exchange market to central bank intervention. Using a time varying Markov switching model we separate periods of relatively stable market conditions from volatile periods and look at the dynamic of the causality effect under different...

This paper compares the ability of nonlinear and standard linear models to capture the dynamics of foreign exchanges rates in the presence of structural breaks. The analysis is conducted for three East Asian countries, namely Indonesia, South Korea and Thailand. It is shown that a Markov...