This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role … January 1993 to December 2020 for five inflation-targeting countries (the UK, Canada, Australia, New Zealand and Sweden) and … follows. First, the nonlinear specification provides much stronger evidence for the PPP and UIP conditions, the estimated …

regime driven by the exchange rate and a third one with inflation targeting. The result is a CVAR with constant long … framework, inflation dynamics in Mexico since the country abandoned the gold standard. The model encompasses known results … parsimonious, it does not require inflation lags nor dummy variables. It also displays a very good pseudo out-of-sample forecasting …