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Imperfect Knowledge, Asset Price Swings and Structural Slumps: A Cointegrated VAR Analysis of Their Interdependence

Author

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  • Katarina Juselius

    (Department of Economics, University of Copenhagen)

Abstract

This paper is an empirically based discussion of interactions between speculative behavior in the currency markets and aggregate fluctuations in the real economy. It builds on the recent theory of Imperfect Knowledge Economics in Frydman and Goldberg (2007) and combines this with the Structural Slumps theory in Phelps (1994). The paper argues that this is likely to imcrease our understanding of the long recurrent spells of high unemployment that continue to mar our economies.

Suggested Citation

  • Katarina Juselius, 2010. "Imperfect Knowledge, Asset Price Swings and Structural Slumps: A Cointegrated VAR Analysis of Their Interdependence," Discussion Papers 10-31, University of Copenhagen. Department of Economics.
    • Handle: RePEc:kud:kuiedp:1031
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    File URL: http://www.econ.ku.dk/english/research/publications/wp/dp_2010/1031.pdf/
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    Citations

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    Cited by:

    1. Olesia Kozlova, 2013. "Forward-Rate Bias, Imperfect Knowledge, and Risk: Evidence from Developed and Developing Countries," 2013 Papers pko627, Job Market Papers.
    2. Honkapohja, Seppo & Evans, George W., 2011. "Learning as a Rational Foundation for Macroeconomics and Finance," CEPR Discussion Papers 8340, C.E.P.R. Discussion Papers.
    3. Leonardo Salazar, 2017. "Modeling Real Exchange Rate Persistence in Chile," Econometrics, MDPI, vol. 5(3), pages 1-21, July.

    More about this item

    Keywords

    financial markets; speculation; long swings; imperfect knowledge; CVAR;
    All these keywords.

    JEL classification:

    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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