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Agents' Rationality and the CHF/USD Exchange Rate, Part II


Garbers, Hermann (2003). Agents' Rationality and the CHF/USD Exchange Rate, Part II. Working paper series / Institute for Empirical Research in Economics No. 169, University of Zurich.

Abstract

In Part I the author was concerned with modeling the monthly logarithmicnCHF/USD exchange rate, ''s''. He rejected a model proposed by B.T.nMcCallum. Searching for a more appropriate framework a story by P. DenGrauwe was introduced, bringing complex cognitive processes and socialnpractices into the picture.nThis paper treats again P. De Grauwe's story, supplements it and embedds itninto a broader setting showing its links to a subtle concept of agents'nrationality. We derive a testable implication of this approach. Althoughnthe test result is negative, it will be helpful for the misspecificationnanalysis of B.T. McCallum's model (applied to ''s''), which will finally benpresented in Part III of this paper.

Abstract

In Part I the author was concerned with modeling the monthly logarithmicnCHF/USD exchange rate, ''s''. He rejected a model proposed by B.T.nMcCallum. Searching for a more appropriate framework a story by P. DenGrauwe was introduced, bringing complex cognitive processes and socialnpractices into the picture.nThis paper treats again P. De Grauwe's story, supplements it and embedds itninto a broader setting showing its links to a subtle concept of agents'nrationality. We derive a testable implication of this approach. Althoughnthe test result is negative, it will be helpful for the misspecificationnanalysis of B.T. McCallum's model (applied to ''s''), which will finally benpresented in Part III of this paper.

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Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Economics
Working Paper Series > Institute for Empirical Research in Economics (former)
Dewey Decimal Classification:330 Economics
Language:English
Date:October 2003
Deposited On:29 Nov 2011 22:32
Last Modified:07 Dec 2017 10:08
Series Name:Working paper series / Institute for Empirical Research in Economics
ISSN:1424-0459
Official URL:http://www.econ.uzh.ch/wp.html

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