In this paper, we apply the alternative long-horizon regression approach proposed by Fisher and Seater (1993) to study the long-run relationship between nominal exchange rates and fundamentals. We find evidence supporting the explanatory power of exchange rate models. In particular, the...

In this paper, we investigate whether monetary policy has asymmetric effects on U.S. equity REIT returns by using Markov-switching models. We adopt a number of measures of monetary policy. We find substantial regime switching in the response to a monetary policy action that corresponds to "boom"...