The determination of the $/£ exchange rate is studied in a small symmetric macroeconometric model including UK-US differentials in inflation, output gap, short and long-term interest rates for the four decades since the breakdown of Bretton Woods. The key question addressed is the possible...

The book presents a systematic and operational approach to econometric modelling of time series subject to shifts in regime. The first part gives a comprehensive mathematical and statistical analysis of the Markov-switching vector autoregressive model. It deals with the theoretical properties...