Modeling Exchange Rates with Incomplete Information

Details

Serval ID
serval:BIB_A4E9A5B3C6C0
Type
A part of a book
Publication sub-type
Chapter: chapter ou part
Collection
Publications
Institution
Title
Modeling Exchange Rates with Incomplete Information
Title of the book
Handbook of Exchange Rates
Author(s)
Bacchetta P., van Wincoop E.
Publisher
Wiley
Address of publication
Chichester, UK
ISBN
978-0-470-76883-9
Publication state
Published
Issued date
07/2012
Editor
James J., Marsh I.W., Sarno L.
Chapter
13
Pages
375-390
Language
english
Abstract
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.
Keywords
Basic monetary model, Exchange rates, Information heterogeneity, Model uncertainty
Create date
08/11/2012 14:21
Last modification date
20/08/2019 15:10
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