International fisher effect under exchange rate regime shifts: Evidence from 10 examples

The Exchange Rate Regime and International Trade

The study of the relation between the exchange rates regime and international trade is done using an inter-disciplinary vision that contains knowledge from four different disciplines: economics, history, mathematics and computer sciences. In the case of pure theory of international trade, there is made an abstraction of the fact that international trade is done using money. The theoretical anal...

Detection and Assessment of Ecosystem Regime Shifts from Fisher Information

Ecosystem regime shifts, which are long-term system reorganizations, have profound implications for sustainability. There is a great need for indicators of regime shifts, particularly methods that are applicable to data from real systems. We have developed a form of Fisher information that measures dynamic order in complex systems. Here we propose the use of Fisher information as a means of: (1...

An Analysis of the Real Interest Rate under Regime Shifts

Résumé This study considers the time series behavior of the U.S. real interest rate from 1961 to 1986. We provide a statistical characterization of the series using the methodology of Hamilton (1989), by allowing three possible regimes affecting both the mean and variance of the series. The results suggest that the ex-post real interest rate is essentially random around a mean that is different...

The Impact of Monetary Regime on the Exchange Rate Pass-Through under Exchange Rate Volatility (Dynamic Panel Data Approach)

The long-run relationship between the spot and futures markets under multiple regime-shifts: Evidence from Turkish derivatives exchange

The paper examines the long-run relationships between the spot and future prices of Istanbul Stock Exchange 30 index (ISE-30) and foreign currencies including the Turkish Lira-US Dollar (TL/USD) and Turkish Lira-Euro (TL/EUR). We analyze the weekly data covering the period from February 9, 2005 to October 17, 2012. Considering structural breaks is important for our analysis since our period con...