Using a theory-consistent CVAR scenario to test an exchange rate model based on imperfect knowledge

Artikel

A theory-consistent CVAR scenario describes a set of testable regularieties one should expect to see in the data if the basic assumptions of the theoretical model are empirically valid. Using this method, the paper demonstrates that all basic assumptions about the shock structure and steady-state behavior of an an imperfect knowledge based model for exchange rate determination can be formulated as testable hypotheses on common stochastic trends and cointegration. This model obtaines remarkable support for almost every testable hypothesis and is able to adequately account for the long persistent swings in the real exchange rate.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 5 ; Year: 2017 ; Issue: 3 ; Pages: 1-20 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Foreign Exchange ; Open Economy Macroeconomics ; International Financial Markets ; Financial Forecasting and Simulation
• Subject: theory-consistent CVAR ; imperfect Knowledge ; theory-based expectations ; international puzzles ; long swings ; persistence

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Juselius, Katarina
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2017

Further information

• DOI: doi:10.3390/econometrics5030030
• Handle: http://hdl.handle.net/10419/195476
• Last update: 10.03.2025, 11:42 AM CET