Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge

Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge

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 be...

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Bibliographic Details
Main Author: Katarina Juselius
Format: Article
Language:English
Published: MDPI AG 2017-07-01
Series:Econometrics
Subjects:
theory-consistent CVAR
imperfect Knowledge
theory-based expectations
international puzzles
long swings
persistence
Online Access:https://www.mdpi.com/2225-1146/5/3/30
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spelling doaj-340215b805eb4949ba155f75c0bfe42e2020-11-24T22:08:52ZengMDPI AGEconometrics2225-11462017-07-01533010.3390/econometrics5030030econometrics5030030Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect KnowledgeKatarina Juselius0Department of Economics, University of Copenhagen, DK-1353 Copenhagen K, DenmarkA 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.https://www.mdpi.com/2225-1146/5/3/30theory-consistent CVARimperfect Knowledgetheory-based expectationsinternational puzzleslong swingspersistence
collection DOAJ
language English
format Article
sources DOAJ
author Katarina Juselius
spellingShingle Katarina Juselius
Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge
Econometrics
theory-consistent CVAR
imperfect Knowledge
theory-based expectations
international puzzles
long swings
persistence
author_facet Katarina Juselius
author_sort Katarina Juselius
title Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge
title_short Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge
title_full Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge
title_fullStr Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge
title_full_unstemmed Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge
title_sort using a theory-consistent cvar scenario to test an exchange rate model based on imperfect knowledge
publisher MDPI AG
series Econometrics
issn 2225-1146
publishDate 2017-07-01
description 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.
topic theory-consistent CVAR
imperfect Knowledge
theory-based expectations
international puzzles
long swings
persistence
url https://www.mdpi.com/2225-1146/5/3/30
work_keys_str_mv AT katarinajuselius usingatheoryconsistentcvarscenariototestanexchangeratemodelbasedonimperfectknowledge
_version_ 1725814307975856128

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