Grauwe, Paul De; Vansteenkiste, Isabel - In: International Journal of Finance & Economics 12 (2007) 1, pp. 37-54
We test whether the relationship between changes in the nominal exchange rate and changes in its underlying fundamentals has non-linear features. In order to do so, we extend the Markov-switching model as proposed by McConnell and Perez Quiros (2000) and Dewachter (2001) and test it using a...