Bergman, U. Michael; Hansson, Jesper - Nationalekonomiska Institutionen, Ekonomihögskolan - 1999
We suggest that the real exchange rate between the major currencies in the post-Bretton Woods period can be described by a stationary, two state Markov switching AR(1) model. Based on the forecast performance, both in-sample and out-of-sample, we find that this model out-performs two competing...
