We develop a numerical procedure that facilitates efficient likelihood evaluation in applications involving non-linear and non-Gaussian state-space models. The procedure employs continuous approximations of filtering densities, and delivers unconditionally optimal global approximations of...

The paper aims at enriching current discussions about the equilibrium exchange rate level for the economy with large external debt, subdued real income growth, fragile financial sector and repeated problems with current account deficit. The main idea of the paper is to apply one of the newly...

This paper examines the parity conditions between assets denominated in different currencies, traded in a well-integrated segment of the international capital market, and derives the consequences for exchange rate expectations. The main objective is to assess the uncovered asset return parity...