One of the most challenging elements of the inflation-targeting framework is the exchange rate forecast. Wadhwani (1999) proposed a UIP, where real variables like the unemployment differential, the current account differential, and the excess return of financial assets affect the expected...

A two-parameter family of filters is proposed in which the HP filter is considered as the lowest order member. While the HP filter converges to linear time trend as the smoothing factor grows, the higher order members of the proposed family converge to higher order polynomial time trends. The...