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.

中文翻译：

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新 Markov-STAR 模型中的实际汇率和基本面*

我们提出了一种新的非线性 Markov-STAR 模型来捕捉实际汇率的马尔可夫切换和平滑过渡动态。我们推导出模型的平稳性条件并将其应用于 17 个国家的实际汇率。我们将转换均衡率和波动率与一组相关的宏观经济变量联系起来，并发现，与经济直觉一致，相对于美国经济恶化的经济往往会显着增加实际汇率贬值的可能性。此外，我们记录了不断上升的经济不确定性与实际汇率变化以及汇率波动之间的重要联系。