IMPERFECT INFORMATION - SOME IMPLICATIONS FOR MODELING THE EXCHANGE-RATE

• 成果类型: Article
• 署名作者: ROBERTS, MA
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/0022-1996(94)01353-T
• 发表日期: 1995
• 页码: 375-383
• 关键词: Exchange rate; rational expectations; imperfect information; TRADE ACCOUNT; learning

摘要

Within a broader setting of rational expectations, where agents do not fully know the parameter values of the model, expectations errors from past observable and persistent shocks will lead to systematic effects. In particular, observable lagged current account shocks will affect the exchange rate within a Mundell-Flemming model even where there is perfect capital mobility. Moreover, the process of agents learning unknown parameter values and revising the values of the forecast parameters would suggest the use of a variable coefficient estimation method to capture the data-generating process outside strong-form rational expectations.