Real Exchange Rates and Fundamentals in a new Markov‐STAR Model*
提出一种新的非线性马尔可夫-STAR模型，用于捕捉实际汇率的马尔可夫转换和平滑转换动态，并基于17国数据发现经济相对美国恶化会显著增加实际汇率贬值概率，经济不确定性也与汇率变动和波动性相关。
Abstract We propose a new nonlinear Markov‐STAR model to capture both the Markov switching and smooth transition dynamics for real exchange rates. We derive stationarity conditions for the model and apply it to the real exchange rates of 17 countries. We relate switching equilibrium rates and volatilities to a set of relevant macroeconomic variables and find, consistent with economic intuitions, that an economy deteriorating relative to the US economy tends to see a significantly increased likelihood of real exchange rate depreciation. Moreover, we document significant connections between rising economic uncertainties and real exchange rate changes as well as exchange rate volatility.