Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge
Publikation: Working paper › Forskning
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Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge. / Juselius, Katarina.
2017.Publikation: Working paper › Forskning
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TY - UNPB
T1 - Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge
AU - Juselius, Katarina
PY - 2017
Y1 - 2017
N2 - A theory-consistent CVAR scenario describes a set of testable regularities 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 obtained a remarkable support for almost every testable hypothesis and was able to adequately account for the long persistent swings in the real exchange rate.
AB - A theory-consistent CVAR scenario describes a set of testable regularities 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 obtained a remarkable support for almost every testable hypothesis and was able to adequately account for the long persistent swings in the real exchange rate.
KW - Faculty of Social Sciences
KW - Theory-Consistent CVAR
KW - Imperfect Knowledge
KW - Theory-Based Expectations
KW - International Puzzles
KW - Long Swings
KW - Persistence
KW - F31
KW - F41
KW - G15
KW - G17
KW - Theory-Consistent CVAR
KW - Imperfect Knowledge
KW - Theory-Based Expectations
KW - International Puzzles
KW - Long Swings
KW - Persistence
M3 - Working paper
T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)
BT - Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge
ER -
ID: 178283198