Exchange Rates and Markov Switching Dynamics

tehran stock exchange dynamics in a markov regime switching egarch-in-mean model

this paper examines regime shifts in tedpix return and volatility and the effects of positive and negative crude oil shocks and gold price fluctuations on stock market shifts behavior using markov switching egarch model with student’s t-distribution. we detect two episodes of series behavior, one relative to low mean/high variance regime namely bear state and the other to high mean/low variance...

Fads Models with Markov Switching Hetroskedasticity: decomposing Tehran Stock Exchange return into Permanent and Transitory Components

Stochastic behavior of stock returns is very important for investors and policy makers in the stock market. In this paper, the stochastic behavior of the return index of Tehran Stock Exchange (TEDPIX) is examined using unobserved component Markov switching model (UC-MS) for the 3/27/2010 until 8/3/2015 period. In this model, stock returns are decomposed into two components; a permanent componen...

Markov-switching analysis of exchange rate pass-through: Sugar Price in Iran

Due to its inherent role in ensuring food security and as one of the productive sectors of the economy, the agricultural sector has a priority in receiving preferential currency. Having a preferred currency has caused the price of this commodity in the market to be multi-valued. On the other hand, the allocation of billions of dollars at a price lower than the free market price of foreign excha...

Markov Switching Regimes in a Monetary Exchange Rate Model*

This paper extends the real interest differential (RID) model of Frankel (1979) by introducing Markov regime switches for three exchange rates over the years 1973 2000. Evidence of a non-linear relationship between exchange rates and underlying fundamentals is provided. One of the regimes represents exactly the RID case. Decisive fundamentals in determining regimes turn out to be mainly interes...

Nonlinearity In Exchange Rates and Forecasting