A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations

Research output: Contribution to journal › Journal article › Research › peer-review

Standard

A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations. / Juselius, Katarina.

In: Econometrics, Vol. 10, No. 2, 2022.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Juselius, K 2022, 'A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations', Econometrics, vol. 10, no. 2. https://doi.org/10.3390/econometrics10020016

APA

Juselius, K. (2022). A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations. Econometrics, 10(2). https://doi.org/10.3390/econometrics10020016

Vancouver

Juselius K. A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations. Econometrics. 2022;10(2). https://doi.org/10.3390/econometrics10020016

Author

Juselius, Katarina. / A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations. In: Econometrics. 2022 ; Vol. 10, No. 2.

Bibtex

@article{3ad639915bf8436d82e012344ccc93cb,
title = "A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking 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 with forward-looking expectations and shows that all assumptions about the model{\textquoteright}s shock structure and steady-state behavior can be formulated as testable hypotheses on common stochastic trends and cointegration. The basic stationarity assumptions of the monetary model failed to obtain empirical support. They were too restrictive to explain the observed long persistent swings in the real exchange rate, the real interest rates, and the inflation and interest rate differentials.",
keywords = "Faculty of Social Sciences, theory-consistent CVAR, expectations, international puzzles, long swings, persistence, imperfect knowledge",
author = "Katarina Juselius",
year = "2022",
doi = "10.3390/econometrics10020016",
language = "English",
volume = "10",
journal = "Econometrics",
issn = "2225-1146",
publisher = "MDPI AG",
number = "2",

}

RIS

TY - JOUR

T1 - A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations

AU - Juselius, Katarina

PY - 2022

Y1 - 2022

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 with forward-looking expectations 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. The basic stationarity assumptions of the monetary model failed to obtain empirical support. They were too restrictive to explain the observed long persistent swings in the real exchange rate, the real interest rates, and the inflation and interest rate differentials.

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 with forward-looking expectations 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. The basic stationarity assumptions of the monetary model failed to obtain empirical support. They were too restrictive to explain the observed long persistent swings in the real exchange rate, the real interest rates, and the inflation and interest rate differentials.

KW - Faculty of Social Sciences

KW - theory-consistent CVAR

KW - expectations

KW - international puzzles

KW - long swings

KW - persistence

KW - imperfect knowledge

U2 - 10.3390/econometrics10020016

DO - 10.3390/econometrics10020016

M3 - Journal article

VL - 10

JO - Econometrics

JF - Econometrics

SN - 2225-1146

IS - 2

ER -

ID: 343170683