Linear models reach their limitations in applications with nonlinearities in the data. In this paper new empirical evidence is provided on the relative Euro inflation forecasting performance of linear and non-linear models. The well established and widely used univariate ARIMA and multivariate...

type="main" <p>We use non-parametric procedures to identify breaks in the underlying series of UK household sector money demand functions. Money demand functions are estimated using cointegration techniques and by employing both the <fr>S</fr>imple <fr>S</fr>um and <fr>D</fr>ivisia measures of money. P-star models are also...</p>

Numerous studies find that monetary models of exchange rates cannot beat a random walk model. Such a finding, however, is not surprising given that such models are built upon money demand functions and traditional money demand functions appear to have broken down in many developed countries. In...

This article investigates the behaviour of exchange rates across different regimes for a post-Bretton Woods period. The exchange rate regime classification is based on the classification of Frankel et al. (2004) who condensed the 10 categories of exchange rate regimes reported by the...