scholarly journals Investigating the Presence of a Nonlinear Exchange Rate Pass Through: A Markov Switching Model Approach

2019 ◽  
Vol 4 (1) ◽  
Author(s):  
Arshad Hayat ◽  
◽  
Philip Katz ◽  
Keyword(s):  
Exchange Rate ◽  
Markov Switching ◽  
Markov Switching Model ◽  
Switching Model ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Model Approach

scholarly journals A Markov-Switching Model Approach to Heart Sound Segmentation and Classification

2020 ◽  
Vol 24 (3) ◽  
pp. 705-716 ◽  
Author(s):  
Fuad Noman ◽  
Sh-Hussain Salleh ◽  
Chee-Ming Ting ◽  
S. Balqis Samdin ◽  
Hernando Ombao ◽  
...  
Keyword(s):  
Heart Sound ◽  
Markov Switching ◽  
Markov Switching Model ◽  
Switching Model ◽  
Heart Sound Segmentation ◽  
Model Approach

scholarly journals A Three-State Markov-Modulated Switching Model for Exchange Rates

2016 ◽  
Vol 2016 ◽  
pp. 1-9 ◽  
Author(s):  
Idowu Oluwasayo Ayodeji
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Markov Switching ◽  
The Other ◽  
Markov Switching Model ◽  
Switching Model ◽  
Empirical Results ◽  
Proposed Model ◽  
Markov Modulated ◽  
Japanese Yen

Several authors have examined the long swings hypothesis in exchange rates using a two-state Markov switching model. This study developed a model to investigate long swings hypothesis in currencies which may exhibit ak-state(k≥2)pattern. The proposed model was then applied to euros, British pounds, Japanese yen, and Nigerian naira. Specification measures such as AIC, BIC, and HIC favoured a three-state pattern in Nigerian naira but a two-state one in the other three currencies. For the period January 2004 to May 2016, empirical results suggested the presence of asymmetric swings in naira and yen and long swings in euros and pounds. In addition, taking0.5as the benchmark for smoothing probabilities, choice models provided a clear reading of the cycle in a manner that is consistent with the realities of the movements in corresponding exchange rate series.

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