Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge
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- Katarina Juselius, 2017. "Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge," Discussion Papers 17-07, University of Copenhagen. Department of Economics.
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Cited by:
- Jung, Alexander & Carcel Villanova, Hector, 2020. "The empirical properties of euro area M3, 1980-2017," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 37-49.
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"Searching for a Theory That Fits the Data: A Personal Research Odyssey,"
Econometrics, MDPI, vol. 9(1), pages 1-27, February.
- Katarina Juselius, 2018. "Searching for a theory that fits the data: A personal research odyssey," Discussion Papers 18-07, University of Copenhagen. Department of Economics.
- Bošnjak Mile & Novak Ivan & Vlajčić Davor, 2021. "Market Efficiency of Euro Exchange Rates and Trading Strategies," Naše gospodarstvo/Our economy, Sciendo, vol. 67(2), pages 10-19, June.
- Katarina Juselius, 2017. "A CVAR scenario for a standard monetary model using theory-consistent expectations," Discussion Papers 17-08, University of Copenhagen. Department of Economics.
- Andreas Hetland & Simon Hetland, 2017. "Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market," Econometrics, MDPI, vol. 5(3), pages 1-21, September.
- Juselius, Katarina & Stillwagon, Josh R., 2018. "Are outcomes driving expectations or the other way around? An I(2) CVAR analysis of interest rate expectations in the dollar/pound market," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 93-105.
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More about this item
Keywords
theory-consistent CVAR; imperfect Knowledge; theory-based expectations; international puzzles; long swings; persistence;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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