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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Papers ; No. 283
- Klassifikation
-
Wirtschaft
Model Construction and Estimation
Model Evaluation, Validation, and Selection
Expectations; Speculations
Price Level; Inflation; Deflation
- Thema
-
Expectations
export prices
LQAC-model
cointegrated VAR
EqCM-model
exogeneity
Lucas critique.
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Boug, Pål
Cappelen, Ådne
Swensen, Anders R.
- Ereignis
-
Veröffentlichung
- (wer)
-
Statistics Norway, Research Department
- (wo)
-
Oslo
- (wann)
-
2000
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Boug, Pål
- Cappelen, Ådne
- Swensen, Anders R.
- Statistics Norway, Research Department
Entstanden
- 2000
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