Arbeitspapier
Expectations in Export Price Formation Tests using Cointegrated VAR Models
The formation of export prices is an area in which the linear quadratic adjustment cost (LQAC) model under rational expectations may be relevant in practice. This paper evaluates the empirical performance of the LQAC-model using Norwegian data and a new testing procedure suggested by Johansen and Swensen (1999). We find, however, that the model can be rejected for our data set. Conversely, we show in light of Hendry (1988) that there exists a data-coherent conditional equilibrium correction (EqCM) model, which is not subject to the Lucas critique. Our findings do not support the claim that Norwegian exporters act on expectations based models in the formation of prices.
- Language
-
Englisch
- Bibliographic citation
-
Series: Discussion Papers ; No. 283
- Classification
-
Wirtschaft
Model Construction and Estimation
Model Evaluation, Validation, and Selection
Expectations; Speculations
Price Level; Inflation; Deflation
- Subject
-
Expectations
export prices
LQAC-model
cointegrated VAR
EqCM-model
exogeneity
Lucas critique.
- Event
-
Geistige Schöpfung
- (who)
-
Boug, Pål
Cappelen, Ådne
Swensen, Anders R.
- Event
-
Veröffentlichung
- (who)
-
Statistics Norway, Research Department
- (where)
-
Oslo
- (when)
-
2000
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Boug, Pål
- Cappelen, Ådne
- Swensen, Anders R.
- Statistics Norway, Research Department
Time of origin
- 2000
Other Objects (12)
Money, stock prices and central banks : a cointegrated VAR analysis
Global Liquidity and Commodity Prices - A Cointegrated VAR Approach for OECD Countries
Global liquidity and commodity prices : a cointegrated VAR approach for OECD countries
Global liquidity and commodity prices: a cointegrated VAR approach for OECD countries
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Global Liquidity and Commodity Prices – A Cointegrated VAR Approach for OECD Countries
Wage Formation in a Cointegrated VAR Model: A Demand and Supply Approach.
Expectations formation, sticky prices, and the ZLB
The formation of subjective house price expectations
Money, stock prices and central banks: Cross-country comparisons of cointegrated VAR models
Identifying Structural Breaks in Cointegrated VAR Models
Monetary Policy, Stock Prices and Central Banks - Cross-Country Comparisons of Cointegrated VAR Models
Money, stock prices and central banks : a cointegrated VAR analysis
Global Liquidity and Commodity Prices - A Cointegrated VAR Approach for OECD Countries
Global liquidity and commodity prices : a cointegrated VAR approach for OECD countries
Global liquidity and commodity prices: a cointegrated VAR approach for OECD countries
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Global Liquidity and Commodity Prices – A Cointegrated VAR Approach for OECD Countries
Wage Formation in a Cointegrated VAR Model: A Demand and Supply Approach.
Expectations formation, sticky prices, and the ZLB
The formation of subjective house price expectations
Money, stock prices and central banks: Cross-country comparisons of cointegrated VAR models
Identifying Structural Breaks in Cointegrated VAR Models
Monetary Policy, Stock Prices and Central Banks - Cross-Country Comparisons of Cointegrated VAR Models
Money, stock prices and central banks : a cointegrated VAR analysis
Global Liquidity and Commodity Prices - A Cointegrated VAR Approach for OECD Countries
Global liquidity and commodity prices : a cointegrated VAR approach for OECD countries
Global liquidity and commodity prices: a cointegrated VAR approach for OECD countries
A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Global Liquidity and Commodity Prices – A Cointegrated VAR Approach for OECD Countries
Wage Formation in a Cointegrated VAR Model: A Demand and Supply Approach.
Expectations formation, sticky prices, and the ZLB
The formation of subjective house price expectations
Money, stock prices and central banks: Cross-country comparisons of cointegrated VAR models
Identifying Structural Breaks in Cointegrated VAR Models