This paper shows that in the short term both gold and crude oil prices positively influence each other. Interest rates have a negative influence on the future gold prices and a positive influence on the future crude oil prices. In the long run, a relationship exists whereby interest rates...

A simple procedure for the specification of the transition function describing the regime switch in nonlinear autoregressive models is proposed. This procedure is based on auxiliary regressions of unit root tests and is applicable to a variety of transition functions. In contrast to other...

We suggest a new method dealing with the problem of endogeneity of the threshold variable in single regression threshold models and seemingly unrelated systems of them based on copula theory. This theory enables us to relax the assumption that the threshold variable is normally distributed and...

We suggest a new method dealing with the problem of endogeneity of the threshold variable in single regression threshold models and seemingly unrelated systems of them based on copula theory. This theory enables us to relax the assumption that the threshold variable is normally distributed and...

The noise-trading or coordination channel hypothesis implies that sterilized intervention in the foreign exchange market is effective if certain conditions are satisfied, but ineffective otherwise. The hypothesis is tested with a three-regime threshold model and daily data on actual intervention...

In this paper, we consider a threshold time series model in order to take into account certain stylized facts of the industrial business cycle, such as asymmetries in the phases of the cycle. Our aim is to point out some thresholds under (over) which a signal of turning point could be given....

The Great Moderation is characterized for being a stable period in terms of macroeconomic conditions, specially in inflation. In terms of the sticky information theory, this environment may provide few incentives for agents to update information on inflation and then a new slope of the sticky...

A simple procedure for the specification of the transition function describing the regime switch in nonlinear autoregressive models is proposed. This procedure is based on auxiliary regressions of unit root tests and is applicable to a variety of transition functions. In contrast to other...

The goal of this paper is to test whether changes in the marketing margin between the farm and the retail prices can result in an asymmetric relationship between the farm and the retail prices in the rice market of Taiwan. By separating the transaction cost variation into two regimes, this paper...