We estimate a Bayesian threshold vector autoregression (TVAR) to study the relationship between exchange rate pass-through and economic activity in Canada and Mexico. Both the model comparison and the analysis of impulse-response functions provide strong evidence of a nonlinear relationship and...

We examine the relationship between wage inflation and the unemployment rate in the U.S. economy for the 1964-2014 period by means of a three-regime threshold regression model. The estimated threshold parameters suggest that this relationship changes when the unemployment rate transitions...