文章基本信息

标题：A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations
本地全文：下载
作者：Katarina Juselius
期刊名称：Econometrics
印刷版ISSN：2225-1146
出版年度：2022
卷号：10
期号：2
页码：16
DOI：10.3390/econometrics10020016
语种：English
出版社：MDPI, Open Access Journal
摘要：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.