Agents’ Rationality and the CHF/USD Exchange Rate

Part I

Fachartikel 85

Fachbereich
Volkswirtschaftslehre
Fachrichtung
Empirische Wirtschaftsforschung
Working Paper
2005
Sprache
englisch

Beschreibung

The analysis of monthly exchange rates is carried out using a model of B.T. McCallum, which is based on the concept of Rational Expectations. Applying the model to the CHF/USD exchange rate, s t , starting a misspecification analysis, the RE component appears to be a weak point of the model. The theory of rational beliefs of M. Kurz generalizes the RE concept introducing special consideration of Data Generating Processes (DGP). We find, however, some evidence speaking against the applicability of the rational belief approach (with respect to s t).

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