Agents' Rationality and the CHF/USD Exchange Rate, Part II
In Part I the author was concerned with modeling the monthly logarithmic CHF/USD exchange rate, ''s''. He rejected a model proposed by B.T. McCallum. Searching for a more appropriate framework a story by P. De Grauwe was introduced, bringing complex cognitive processes and social practices into the picture. This paper treats again P. De Grauwe's story, supplements it and embedds it into a broader setting showing its links to a subtle concept of agents' rationality. We derive a testable implication of this approach. Although the test result is negative, it will be helpful for the misspecification analysis of B.T. McCallum's model (applied to ''s''), which will finally be presented in Part III of this paper..
|Date of creation:|
|Contact details of provider:|| Postal: Schönberggasse 1, CH-8001 Zürich|
Phone: +41-1-634 21 37
Fax: +41-1-634 49 82
Web page: http://www.econ.uzh.ch/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- McCallum, Bennett T., 1994.
"A reconsideration of the uncovered interest parity relationship,"
Journal of Monetary Economics,
Elsevier, vol. 33(1), pages 105-132, February.
- Bennett T. McCallum, 1992. "A Reconsideration of the Uncovered Interest Parity Relationship," NBER Working Papers 4113, National Bureau of Economic Research, Inc.
- Tversky, Amos & Kahneman, Daniel, 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
- Arrow, Kenneth J, 1986. "Rationality of Self and Others in an Economic System," The Journal of Business, University of Chicago Press, vol. 59(4), pages 385-399, October.
- Tversky, Amos & Kahneman, Daniel, 1986. "Rational Choice and the Framing of Decisions," The Journal of Business, University of Chicago Press, vol. 59(4), pages 251-278, October.
- Vernon L. Smith, 1994. "Economics in the Laboratory," Journal of Economic Perspectives, American Economic Association, vol. 8(1), pages 113-131, Winter. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:zur:iewwpx:169. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marita Kieser)
If references are entirely missing, you can add them using this form.