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...

This paper investigates the asymmetric effect of house prices on various categories of consumption under constrained and unconstrained regimes. We first present a simple theoretical model based on Iacoviello (2004) and Luengo-Prado (2006), explicitly considering the dual role of housing and...

This paper reexamines the explanatory power of Taylor rule fundamentals for real exchange rate determination. We assume the agents know the time-varying parameters in central bank policy rules. The empirical results suggest that a monetary policy rule with regime switching is better able to...

This article considers the long-run relationship between nominal exchange rates and fundamentals from a different perspective. We apply a long-horizon regression approach proposed by <link rid="b20">Fisher and Seater (1993)</link> and find evidence supporting the explanatory power of exchange rate models. In...