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Expectations and regime robustness in price formation: evidence from vector autoregressive models and recursive methods

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  • Pål Boug

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  • Ådne Cappelen
  • Anders Swensen
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    File URL: http://hdl.handle.net/10.1007/s00181-006-0056-7
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    Bibliographic Info

    Article provided by Springer in its journal Empirical Economics.

    Volume (Year): 31 (2006)
    Issue (Month): 4 (November)
    Pages: 821-845

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    Handle: RePEc:spr:empeco:v:31:y:2006:i:4:p:821-845

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    Related research

    Keywords: Expectations; Export prices; LQAC-model; VAR model; EqCM-model; Lucas critique; C51; C52; D84; E31;

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    References

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    1. David F. Hendry & Neil R. Ericsson, 1990. "Modeling the demand for narrow money in the United Kingdom and the United States," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 383, Board of Governors of the Federal Reserve System (U.S.).
    2. Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 506, Board of Governors of the Federal Reserve System (U.S.).
    3. Gunnar Bardsen & Eilev S. Jansen & Ragnar Nymoen, 2004. "Econometric Evaluation of the New Keynesian Phillips Curve," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(s1), pages 671-686, 09.
    4. Gali, Jordi & Gertler, Mark & Lopez-Salido, J. David, 2001. "European inflation dynamics," European Economic Review, Elsevier, vol. 45(7), pages 1237-1270.
    5. Taylor, John B, 1980. "Aggregate Dynamics and Staggered Contracts," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 88(1), pages 1-23, February.
    6. Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
    7. Banerjee, Anindya & Russell, Bill, 2004. "A reinvestigation of the markup and the business cycle," Economic Modelling, Elsevier, vol. 21(2), pages 267-284, March.
    8. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-55, July.
    9. Engsted, Tom & Haldrup, Niels, 1997. "Money demand, adjustment costs, and forward-looking behavior," Journal of Policy Modeling, Elsevier, Elsevier, vol. 19(2), pages 153-173, April.
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    Cited by:
    1. Andreas Benedictow & PÃ¥l Boug, 2013. "Trade liberalisation and exchange rate pass-through: the case of textiles and wearing apparels," Empirical Economics, Springer, Springer, vol. 45(2), pages 757-788, October.
    2. PÃ¥l Boug & Ã…dne Cappelen & Anders Rygh Swensen, 2006. "The New Keynesian Phillips Curve for a Small Open Economy," Discussion Papers, Research Department of Statistics Norway 460, Research Department of Statistics Norway.
    3. P�l Boug & Andreas Fagereng, 2007. "Exchange rate volatility and export performance: A cointegrated VAR approach," Discussion Papers, Research Department of Statistics Norway 522, Research Department of Statistics Norway.
    4. Pål Boug & Ådne Cappelen & Torbjørn Eika, 2013. "The importance of the distribution sector for exchange rate pass-through in a small open economy. A large scale macroeconometric modelling approach," Discussion Papers, Research Department of Statistics Norway 731, Research Department of Statistics Norway.
    5. PÃ¥l Boug & Ã…dne Cappelen & Anders Rygh Swensen, 2007. "The New Keynesian Phillips Curve revisited," Discussion Papers, Research Department of Statistics Norway 500, Research Department of Statistics Norway.
    6. Boug, PÃ¥l & Cappelen, Adne & Swensen, Anders Rygh, 2010. "The new Keynesian Phillips curve revisited," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(5), pages 858-874, May.

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