This paper investigates the extent to which output has recovered from the Asian crisis. A regime-switching approach that introduces two state variables is used to decompose recessions in a set of six Asian countries into permanent and transitory components. While growth recovered fairly quickly...

This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange...

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative...

Optimal nominal interest rate rules are usually set assuming that the underlying world is linear. In this paper we consider the performance of optimal rules when the underlying relationship between inflation and the output gap may be nonlinear. In particular if the inflation-output trade off...

Nonlinear regression models have been widely used in practice for a variety of time series and cross-section datasets. For purposes of analyzing univariate and multivariate time series data, in particular, smooth transition regression (STR) models have been shown to be very useful for...

According to several empirical studies, US inflation and nominal interest rates, as well as the real interest rate, can be described as unit root processes.These results imply that nominal interest rates and expected inflation do not move one-for-one in the long run, which is not consistent with...

The persistence properties of economic time series has been a primary object of investigation in a variety of guises since the early days of econometrics. This paper suggests investigating the persistence of processes conditioning on their history. In particular we suggest that examining the...

According to several empirical studies, US inflation and nominal interest rates, as well as the real interest rate, can be described as unit root processes. These results imply that nominal interest rates and expected inflation do not move one-for-one in the long run, which is not consistent...