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Real Exchange Rates and Fundamentals in a new Markov-STAR Model*

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Autoren

  • Philip Bertram
  • Teresa Flock
  • Jun Ma
  • Philipp Sibbertsen

Organisationseinheiten

Externe Organisationen

  • Northeastern University
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Details

OriginalspracheEnglisch
Seiten (von - bis)356-379
Seitenumfang24
FachzeitschriftOxford Bulletin of Economics and Statistics
Jahrgang84
Ausgabenummer2
Frühes Online-Datum19 Okt. 2021
PublikationsstatusVeröffentlicht - 17 März 2022

Abstract

We propose a new nonlinear Markov-STAR model to capture both the Markov switching and smooth transition dynamics for real exchange rates. We derive stationarity conditions for the model and apply it to the real exchange rates of 17 countries. We relate switching equilibrium rates and volatilities to a set of relevant macroeconomic variables and find, consistent with economic intuitions, that an economy deteriorating relative to the US economy tends to see a significantly increased likelihood of real exchange rate depreciation. Moreover, we document significant connections between rising economic uncertainties and real exchange rate changes as well as exchange rate volatility.

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Real Exchange Rates and Fundamentals in a new Markov-STAR Model*. / Bertram, Philip; Flock, Teresa; Ma, Jun et al.
in: Oxford Bulletin of Economics and Statistics, Jahrgang 84, Nr. 2, 17.03.2022, S. 356-379.

Publikation: Beitrag in FachzeitschriftArtikelForschungPeer-Review

Bertram P, Flock T, Ma J, Sibbertsen P. Real Exchange Rates and Fundamentals in a new Markov-STAR Model*. Oxford Bulletin of Economics and Statistics. 2022 Mär 17;84(2):356-379. Epub 2021 Okt 19. doi: 10.1111/obes.12467, 10.15488/12449
Bertram, Philip ; Flock, Teresa ; Ma, Jun et al. / Real Exchange Rates and Fundamentals in a new Markov-STAR Model*. in: Oxford Bulletin of Economics and Statistics. 2022 ; Jahrgang 84, Nr. 2. S. 356-379.
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