Testing for purchasing power parity and uncovered interest parity in the presence of monetary and exchange rate regime shifts

Keyphrases

• Regime Shift 100%
• Exchange Rate Regime 100%
• Purchasing Power Parity 100%
• Uncovered Interest Parity 100%
• Parity Relation 50%
• Markov-switching Vector Error Correction Model 33%
• Time Series Data 16%
• Error Correction Model 16%
• Equilibrium Condition 16%
• Functional Form 16%
• Residual Distribution 16%
• Economic Theory 16%
• Modeling Strategy 16%
• Cointegrating Vector 16%
• Market Imperfections 16%
• Determination of Interest Rates 16%
• Vector Error Correction Model 16%
• Linear Vectors 16%
• Policy Regimes 16%

Economics, Econometrics and Finance

• Exchange Rate Regime 100%
• Purchasing Power Parity 100%
• Interest Rate Parity 100%
• Error Correction 66%
• Interest Rate 16%
• Time Series 16%
• Exchange Rate 16%
• Economic Theory 16%
• Incomplete Market 16%