| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP7316
|
| DP7316 The Burden of Proof in National Treatment Disputes and the Environment |
| Henrik Horn
|
| 发表日期 | 2009-06-07
|
| 出版年 | 2009
|
| 语种 | 英语
|
| 摘要 | It is well known from anecdotal, survey and econometric evidence that the relationship between the exchange rate and macro fundamentals is highly unstable. This could be explained when structural parameters are known and very volatile, neither of which seems plausible. Instead we argue that large and frequent variations in the relationship between the exchange rate and macro fundamentals naturally develop when structural parameters in the economy are unknown and change very slowly. We show that the reduced form relationship between exchange rates and fundamentals is driven not by the structural parameters themselves, but rather by expectations of these parameters. These expectations can be highly unstable as a result of perfectly rational "scapegoat" effects. This happens when parameters can potentially change much more in the long run than the short run. This generates substantial uncertainty about the level of parameters, even though monthly or annual changes are small. This mechanism can also be relevant in other contexts of forward looking variables and could explain the widespread evidence of parameter instability found in macroeconomic and financial data. Finally, we show that parameter instability has remarkably little effect on the volatility of exchange rates, the in-sample explanatory power of macro fundamentals and the ability to forecast out of sample. |
| 主题 | International Macroeconomics
|
| 关键词 | exchange rate
Time-varying coefficients
|
| URL | https://cepr.org/publications/dp7316
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536147
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推荐引用方式
GB/T 7714 |
Henrik Horn. DP7316 The Burden of Proof in National Treatment Disputes and the Environment. 2009.
|
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