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

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Bertram, P.; Flock, T.; Ma, J.; Sibbertsen, P.: Real Exchange Rates and Fundamentals in a new Markov-STAR Model*. In: Oxford Bulletin of Economics and Statistics 84 (2022), Nr. 2, S. 356-379. DOI:

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Sum total of downloads: 50

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. © 2021 The Authors. Oxford Bulletin of Economics and Statistics published by Oxford University and John Wiley & Sons Ltd.
License of this version: CC BY-NC-ND 4.0 Unported
Document Type: Article
Publishing status: publishedVersion
Issue Date: 2022
Appears in Collections:Wirtschaftswissenschaftliche Fakultät

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downloads by country:

pos. country downloads
total perc.
1 image of flag of Germany Germany 22 44.00%
2 image of flag of United States United States 10 20.00%
3 image of flag of Netherlands Netherlands 5 10.00%
4 image of flag of Iran, Islamic Republic of Iran, Islamic Republic of 4 8.00%
5 image of flag of China China 3 6.00%
6 image of flag of Vietnam Vietnam 1 2.00%
7 image of flag of Israel Israel 1 2.00%
8 image of flag of Indonesia Indonesia 1 2.00%
9 image of flag of Algeria Algeria 1 2.00%
10 image of flag of Brazil Brazil 1 2.00%
    other countries 1 2.00%

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