Modeling Exchange Rates with Incomplete Information

Détails

ID Serval
serval:BIB_A4E9A5B3C6C0
Type
Partie de livre
Sous-type
Chapitre: chapitre ou section
Collection
Publications
Institution
Titre
Modeling Exchange Rates with Incomplete Information
Titre du livre
Handbook of Exchange Rates
Auteur(s)
Bacchetta P., van Wincoop E.
Editeur
Wiley
Lieu d'édition
Chichester, UK
ISBN
978-0-470-76883-9
Statut éditorial
Publié
Date de publication
07/2012
Editeur scientifique
James J., Marsh I.W., Sarno L.
Numéro de chapitre
13
Pages
375-390
Langue
anglais
Résumé
This chapter reviews the implications of various forms of incomplete information in an otherwise standard model of exchange rate determination. First, it talks about a standard "benchmark" monetary model of exchange rate determination that makes the usual set of restrictive assumptions about the information structure. Next, the chapter examines the impact of incomplete information within a two-country version of this standard framework. The first deviation from the benchmark considered is information heterogeneity as analyzed in Bacchetta and van Wincoop. Then, the chapter introduces model uncertainty in the form of time-varying structural parameters that are unknown. Finally, it discusses what happens when investors do not continuously process all available information.
Mots-clé
Basic monetary model, Exchange rates, Information heterogeneity, Model uncertainty
Création de la notice
08/11/2012 14:21
Dernière modification de la notice
20/08/2019 15:10
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