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Why use Markov-switching models in exchange rate prediction?

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  • Lee, Hsiu-Yun
  • Chen, Show-Lin
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    File URL: http://www.sciencedirect.com/science/article/B6VB1-4JW15KN-2/2/4c344aea7a5ff386a46333a8a9cf188d
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    Article provided by Elsevier in its journal Economic Modelling.

    Volume (Year): 23 (2006)
    Issue (Month): 4 (July)
    Pages: 662-668

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    Handle: RePEc:eee:ecmode:v:23:y:2006:i:4:p:662-668

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    Web page: http://www.elsevier.com/locate/inca/30411

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    1. Charles Engel, 1992. "Can the Markov Switching Model Forecast Exchange Rates?," NBER Working Papers 4210, National Bureau of Economic Research, Inc.
    2. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-30, September.
    3. Guillermo A. Calvo & Carmen M. Reinhart, 2000. "Fear of Floating," NBER Working Papers 7993, National Bureau of Economic Research, Inc.
    4. Kim, C-J., 1991. "Dynamic Linear Models with Markov-Switching," Papers 91-8, York (Canada) - Department of Economics.
    5. Ya-Hwei Yang & Jia-Dong Shea, 2005. "Deflation and Monetary Policy in Taiwan," NBER Working Papers 11244, National Bureau of Economic Research, Inc.
    6. Dimitris Kirikos, 2000. "Forecasting exchange rates out of sample: random walk vs Markov switching regimes," Applied Economics Letters, Taylor & Francis Journals, vol. 7(2), pages 133-136.
    7. Kirikos, Dimitris G, 2002. "Discrete Policy Interventions and Rational Forecast Errors in Foreign Exchange Markets: The Uncovered Interest Parity Hypothesis Revisited," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(4), pages 327-38, October.
    8. Kirikos, Dimitris G., 2004. "A Reconsideration of Uncovered Interest Rate Parity under Switching Policy Regimes," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 57(2), pages 125-144.
    9. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
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    Cited by:
    1. Bhar, Ramaprasad & Hammoudeh, Shawkat, 2011. "Commodities and financial variables: Analyzing relationships in a changing regime environment," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 469-484, October.
    2. Nikolsko-Rzhevskyy, Alex & Prodan, Ruxandra, 2012. "Markov switching and exchange rate predictability," International Journal of Forecasting, Elsevier, vol. 28(2), pages 353-365.
    3. Slim Chaouachi & Zied Ftiti & Frédèric Teulon, 2014. "Modelling the Real Exchange Rate: A new Sequential Approach," Working Papers 2014-390, Department of Research, Ipag Business School.
    4. Slim Chaouachi & Zied Ftiti & Frederic Teulon, 2014. "Explaining the Tunisian Real Exchange: Long Memory versus Structural Breaks," Working Papers 2014-147, Department of Research, Ipag Business School.
    5. Tamgac, Unay, 2011. "Crisis and self-fulfilling expectations: The Turkish experience in 1994 and 2000-2001," International Review of Economics & Finance, Elsevier, vol. 20(1), pages 44-58, January.
    6. Lee, Hsiu-Yun, 2011. "Nonlinear exchange rate dynamics under stochastic official intervention," Economic Modelling, Elsevier, vol. 28(4), pages 1510-1518, July.

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