دانلود مقاله ISI انگلیسی شماره 93676
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
93676 2018 32 صفحه PDF سفارش دهید 10201 کلمه
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عنوان انگلیسی
Are outcomes driving expectations or the other way around? An I(2) CVAR analysis of interest rate expectations in the dollar/pound market
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of International Money and Finance, Volume 83, May 2018, Pages 93-105

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چکیده انگلیسی

This paper uses consensus forecasts to address empirical puzzles in international macro using the Cointegrated VAR model. The data, consisting of three-month Libor rates, their three-month ahead forecasts, prices and exchange rates for the US and UK, were all found to be near I(2) consistent with imperfect knowledge expectations. The I(2) analysis showed that over the medium run the nominal exchange rate has moved away from equilibrium values with interest rates following suit, whereas over the long run the nominal exchange rate was adjusting while the interest rate forecasts pushed the system away from steady state. Evidence of self-reinforcing feedback mechanisms in the system signals the importance of speculative bubbles for the determination of the exchange rate and the interest rates.

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