Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?
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The value of the dollar appears to move in one direction for long periods of time. We develop a new statistical model of exchange rate dynamics as a sequence of stochastic, segmented time trends. The paper implements new techniques for parameter estimation and hypothesis testing for this framework.
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美国国家经济研究局创建时间：
1989-11-01
