This paper employs a new methodology for measuring the contribution of growth and interest rate differentials to the half-life of deviations from Purchasing Power Parity (PPP). Our method is based on directly comparing the impulse response function of a VAR model, where the real exchange rate is...

This study provides evidence of periodically collapsing bubbles in the British pound to US dollar exchange rate in the post-1973 period. We develop two- and three-state regime-switching models that relate the expected exchange rate return to the bubble size and to an additional explanatory...

In this paper we explore convergence of real per capita output across the European Union (EU) countries as well as the transitional behaviour of possible underlying factors that are responsible for any convergence or divergence pattern. The new panel convergence methodology developed by Phillips...

Forecasting exchange rates is a subject of wide interest to both academics and practitioners. We aim at contributing to this vivid research area by highlighting the role of both technical indicators and macroeconomic predictors in forecasting exchange rates. Employing monthly data ranging from...