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Revisiting the interest rate-exchange rate nexus: a Markov-switching approach

Citations

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Cited by:

  1. Christoph Himmels & Tatiana Kirsanova, 2009. "The interest rate - exchange rate nexus: exchange rate regimes and policy equilibria," Discussion Papers 0904, University of Exeter, Department of Economics.
  2. Hsing Yu, 2015. "Short-Run Determinants of the IDR/USD Exchange Rate: A Simultaneous-Equation Model," Global Economy Journal, De Gruyter, vol. 15(3), pages 311-318, September.
  3. Oscar V. De la Torre-Torres & José Álvarez-García & María de la Cruz del Río-Rama, 2024. "An EM/MCMC Markov-Switching GARCH Behavioral Algorithm for Random-Length Lumber Futures Trading," Mathematics, MDPI, vol. 12(3), pages 1-20, February.
  4. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2015. "International Portfolio Flows and Exchange Rate Volatility for Emerging Markets," CESifo Working Paper Series 5615, CESifo.
  5. Tsen, Wong Hock, 2011. "The real exchange rate determination: An empirical investigation," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 800-811, October.
  6. Soon, Siew-Voon & Baharumshah, Ahmad Zubaidi, 2021. "Exchange rates and fundamentals: Further evidence based on asymmetric causality test," International Economics, Elsevier, vol. 165(C), pages 67-84.
  7. repec:zbw:bofitp:2014_015 is not listed on IDEAS
  8. Mr. Francis Y Kumah, 2007. "A Markov-Switching Approach to Measuring Exchange Market Pressure," IMF Working Papers 2007/242, International Monetary Fund.
  9. Fahima Charef, 2017. "Modeling the Volatility of Exchange Rates: GARCH Models," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 3(1), pages 39-47, March.
  10. Hsing, Yu, 2009. "Analysis of the Behavior of the New Zealand Dollar Exchange Rate: Comparison of Four Major Models," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 5(1-2), pages 1-10, March.
  11. Chen, Shiu-Sheng, 2007. "A note on interest rate defense policy and exchange rate volatility," Economic Modelling, Elsevier, vol. 24(5), pages 768-777, September.
  12. Yu Hsing, 2015. "Short-Run Determinants of the USD/MYR Exchange Rate," Economics Bulletin, AccessEcon, vol. 35(1), pages 97-105.
  13. repec:wsr:wpaper:y:2010:i:057 is not listed on IDEAS
  14. Yu Hsing, 2010. "Analysis of movements in the AUD/USD exchange rate: comparison of four major models," Applied Economics Letters, Taylor & Francis Journals, vol. 17(6), pages 575-580.
  15. Lee, Hsiu-Yun, 2011. "Nonlinear exchange rate dynamics under stochastic official intervention," Economic Modelling, Elsevier, vol. 28(4), pages 1510-1518, July.
  16. G. Bazot & M. D. Bordo & E. Monnet, 2014. "The Price of Stability. The balance sheet policy of the Banque de France and the Gold Standard (1880-1914)," Working papers 510, Banque de France.
  17. Bazot, Guillaume & Bordo, Michael D. & Monnet, Eric, 2016. "International shocks and the balance sheet of the Bank of France under the classical gold standard," Explorations in Economic History, Elsevier, vol. 62(C), pages 87-107.
  18. Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & María de la Cruz Del Río-Rama & José Álvarez-García, 2022. "Using Markov-Switching Models in US Stocks Optimal Portfolio Selection in a Black–Litterman Context (Part 1)," Mathematics, MDPI, vol. 10(8), pages 1-28, April.
  19. Chen, Shiu-Sheng, 2006. "Revisiting the interest rate-exchange rate nexus: a Markov-switching approach," Journal of Development Economics, Elsevier, vol. 79(1), pages 208-224, February.
  20. Ahmad Zubaidi Baharumshah & Venus Khim-Sen Liew & Ron Mittelhammer, 2010. "Non-linearities in Real Interest Rate Parity: Evidence from OECD and Asian Developing Economies," Global Economic Review, Taylor & Francis Journals, vol. 39(4), pages 351-364.
  21. Eric W. Bond & James Tybout & Hale Utar, 2015. "Credit Rationing, Risk Aversion, And Industrial Evolution In Developing Countries," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(3), pages 695-722, August.
  22. O. P. C. Muhammed Rafi & M. Ramachandran, 2018. "Capital flows and exchange rate volatility: experience of emerging economies," Indian Economic Review, Springer, vol. 53(1), pages 183-205, December.
  23. Himmels, Christoph & Kirsanova, Tatiana, 2018. "Discretionary policy in a small open economy: Exchange rate regimes and multiple equilibria," Journal of Macroeconomics, Elsevier, vol. 56(C), pages 53-64.
  24. Boris Blagov & Michael Funke, 2016. "The Credibility of Hong Kong's Currency Board System: Looking Through the Prism of MS-VAR Models with Time-Varying Transition Probabilities," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(6), pages 895-914, December.
  25. HSING, Yu, 2021. "Are The Predictions Of The Mundell-Fleming Model Applicable To Argentina?," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 21(1), pages 37-48.
  26. Hüseyin Şen & Ayşe Kaya & Savaş Kaptan & Metehan Cömert, 2019. "Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships," Working Papers halshs-02095652, HAL.
  27. Boris Blagov & Michael Funke, 2016. "The Credibility of Hong Kong's Currency Board System: Looking Through the Prism of MS-VAR Models with Time-Varying Transition Probabilities," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(6), pages 895-914, December.
  28. Auyo Musa, Abdulhamid & Rafindadi Sanusi, Aliyu, 2021. "Relationship Between Interest Rate And Exchange Rate In Nigeria: Does The Banking Sector Debt Level Matter?," Ilorin Journal of Economic Policy, Department of Economics, University of Ilorin, vol. 8(2), pages 89-103, June.
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