This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different market statuses, namely, rising-stocks/appreciating-currency, falling-stocks/depreciating-currency, rising-stocks/depreciating-currency, and falling-stocks/appreciating-currency....

Equilibrium models of real exchange rate determination, in the presence of transaction costs, imply a nonlinear adjustment process toward purchasing power parity (PPP). In this paper we re-examine the hypothesis of PPP allowing for the adjustment to follow a nonlinear process. For the country...