In this empirical study, we analyze the relationship between carry trade positions and some key financial as well as macroeconomic variables using a multivariate threshold model. It is often stated that the Swiss franc serves as a funding currency. We therefore focus on carry trades based on the...

We employ a nonlinear VAR to document the asymmetric reaction of real economic activity to uncertainty shocks. An uncertainty shock occurring in recessions triggers an abrupt and deep drop followed by a quick rebound and a temporary overshoot. The same shock hitting in expansions induces a...

There is an opinion that the Russian Central Bank's actual policy in 2000–2008 was real exchange rate targeting. At the same time, the Central Bank regularly declared inflation targets, but regularly missed them. We estimate a simple structural threshold VAR model of the Russian economy to...