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Structural Error Correction Models: A System Method for Linear Rational Expectations Models and an Application to an Exchange Rate Model

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  • JAEBEOM KIM
  • MASAO OGAKI
  • MINSEOK YANG

Abstract

This paper develops a system instrumental variable method to estimate the speed of adjustment coefficient in the long-run equilibrium of structural error correction models for a class of linear rational expectations models. This method is applied to an exchange rate model with sticky prices, in which the speed of adjustment coefficient governs the half-life of the real exchange rate. Compared to single equation methods, the system method gives smaller half-life estimates with sharper standard errors. Copyright 2007 The Ohio State University.

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Bibliographic Info

Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 39 (2007)
Issue (Month): 8 (December)
Pages: 2057-2075

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Handle: RePEc:mcb:jmoncb:v:39:y:2007:i:8:p:2057-2075

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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Cited by:
  1. Masao Ogaki & Hyeongwoo Kim, 2009. "Purchasing Power Parity and the Taylor Rule," Working Papers 09-03, Ohio State University, Department of Economics.
  2. repec:csg:ajrcwp:1305 is not listed on IDEAS

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