A CVAR scenario for a standard monetary model using theory-consistent expectations

Publikation: Working paperForskning

Standard

A CVAR scenario for a standard monetary model using theory-consistent expectations. / Juselius, Katarina.

2017.

Publikation: Working paperForskning

Harvard

Juselius, K 2017 'A CVAR scenario for a standard monetary model using theory-consistent expectations'. <https://www.economics.ku.dk/research/publications/wp/dp_2017/1708.pdf>

APA

Juselius, K. (2017). A CVAR scenario for a standard monetary model using theory-consistent expectations. University of Copenhagen. Institute of Economics. Discussion Papers (Online) Nr. 17-08 https://www.economics.ku.dk/research/publications/wp/dp_2017/1708.pdf

Vancouver

Juselius K. A CVAR scenario for a standard monetary model using theory-consistent expectations. 2017.

Author

Juselius, Katarina. / A CVAR scenario for a standard monetary model using theory-consistent expectations. 2017. (University of Copenhagen. Institute of Economics. Discussion Papers (Online); Nr. 17-08).

Bibtex

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title = "A CVAR scenario for a standard monetary model using theory-consistent expectations",
abstract = "A theory-consistent CVAR scenario describes a set of testable regularities capturing basic assumptions of the theoretical model. Using this concept, the paper considers a standard model for exchange rate determination and shows that all assumptions about the model's shock structure and steady-state behavior can be formulated as testable hypotheses on common stochastic trends and cointegration. While the scenario was rejected on essentially all counts, the results were informative about the cause of the empirical failure. It was the stationarity assumptions that were too restrictive to explain the long persistent swings in the real exchange rate and the interest rate differential.",
keywords = "Faculty of Social Sciences, Theory-Consistent CVAR, Expectations, International Puzzles, Long Swings, Persistence, Imperfect Knowledge, F31, F41, G15, G17, Theory-Consistent CVAR, Expectations, International Puzzles, Long Swings, Persistence, Imperfect Knowledge",
author = "Katarina Juselius",
year = "2017",
language = "English",
series = "University of Copenhagen. Institute of Economics. Discussion Papers (Online)",
number = "17-08",
type = "WorkingPaper",

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RIS

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AU - Juselius, Katarina

PY - 2017

Y1 - 2017

N2 - A theory-consistent CVAR scenario describes a set of testable regularities capturing basic assumptions of the theoretical model. Using this concept, the paper considers a standard model for exchange rate determination and shows that all assumptions about the model's shock structure and steady-state behavior can be formulated as testable hypotheses on common stochastic trends and cointegration. While the scenario was rejected on essentially all counts, the results were informative about the cause of the empirical failure. It was the stationarity assumptions that were too restrictive to explain the long persistent swings in the real exchange rate and the interest rate differential.

AB - A theory-consistent CVAR scenario describes a set of testable regularities capturing basic assumptions of the theoretical model. Using this concept, the paper considers a standard model for exchange rate determination and shows that all assumptions about the model's shock structure and steady-state behavior can be formulated as testable hypotheses on common stochastic trends and cointegration. While the scenario was rejected on essentially all counts, the results were informative about the cause of the empirical failure. It was the stationarity assumptions that were too restrictive to explain the long persistent swings in the real exchange rate and the interest rate differential.

KW - Faculty of Social Sciences

KW - Theory-Consistent CVAR

KW - Expectations

KW - International Puzzles

KW - Long Swings

KW - Persistence

KW - Imperfect Knowledge

KW - F31

KW - F41

KW - G15

KW - G17

KW - Theory-Consistent CVAR

KW - Expectations

KW - International Puzzles

KW - Long Swings

KW - Persistence

KW - Imperfect Knowledge

M3 - Working paper

T3 - University of Copenhagen. Institute of Economics. Discussion Papers (Online)

BT - A CVAR scenario for a standard monetary model using theory-consistent expectations

ER -

ID: 178283366