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Do fundamentals matter for the D-Mark/Euro–Dollar? A regime switching approach
16 references·4 citing·46 second hop
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this work references cited by second hop

References

  • 2003The Economics of Exchange Rates1,327 cited
  • 2000State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications1,153 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 1979On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials955 cited
  • 2005Exchange Rates, Equity Prices, and Capital Flows622 cited
  • 1995Empirical research on nominal exchange rates521 cited
  • 1994Can the Markov switching model forecast exchange rates?415 cited
  • 1990Currency Fluctuations in the Post-Bretton Woods Era284 cited
  • 2003Exchange rate forecasting: the errors we’ve really made244 cited
  • 2000Regime switching in foreign exchange rates:222 cited
  • 1987Time-Varying Parameters and the Out-of-Sample Forecasting Performance of Structural Exchange Rate Models177 cited
  • 1984Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff171 cited
  • 2006Extended evidence on the use of technical analysis in foreign exchange158 cited
  • 1998The noise trading approach — questionnaire evidence from foreign exchange156 cited
  • 1999Exchange Rate Behaviour: are Fundamentals Important?

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138 cited
  • 2004Markov switching regimes in a monetary exchange rate model118 cited
  • Cited by

    • 2011The exchange rate and macroeconomic determinants: Time-varying transitional dynamics31 cited
    • 2013Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices28 cited
    • 2015Markov regimes switching with monetary fundamental-based exchange rate model18 cited
    • 2010Nonlinearity and time-variation in the monetary model of exchange rates17 cited