Recent studies on general equilibrium models with transaction costs show that the dynamics of the real exchange rate are necessarily nonlinear. Our contribution to the literature on nonlinear price adjustment mechanisms is treefold. First, we model the real exchange rate by a Multi-Regime...

[eng] An empirical testing of exchange market efficiency hypothesis . . This paper develops an empirical analysis of the exchange market efficiency hypothesis, based on its implications for the VAR representation. It proposes an extension of the existing tests. Using daily data for the main...