Engel, Charles; Kim, Chang-Jin - In: Journal of Money, Credit and Banking 31 (1999) 3, pp. 335-56
The paper estimates a model for the real U.S/U.K. exchange rate. The Kalman filter is used to identify a permanent and transitory component. We find the variance of the transitory component shifts among three states according to a Markov-switching process. The model is estimated by Gibbs...