De Grauwe, Paul; Vansteenkiste, Isabel - 2001
-linear features. In order to do so, we develop a Markov switching model and apply it to a sample of low and high inflation countries …. The empirical analysis shows that for the high inflation countries the relationship between news in the fundamentals and … the exchange rate changes is stable and significant. This is not the case, however, for the low inflation countries, where …
