English, Article, Journal or magazine article edition: Expectations in Export Price Formation Tests using Cointegrated VAR Models Pål Boug; Ådne Cappelen and Anders R. Swensen

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Expectations in Export Price Formation Tests using Cointegrated VAR Models
Author
  • Pål Boug
  • Ådne Cappelen and Anders R. Swensen
Physical Description
  • preprint
Notes
  • The formation of export prices is an area in which the linear quadratic adjustment cost (LQAC) model under rational expectations may be relevant in practice. This paper evaluates the empirical performance of the LQAC-model using Norwegian data and a new testing procedure suggested by Johansen and Swensen (1999). We find, however, that the model can be rejected for our data set. Conversely, we show in light of Hendry (1988) that there exists a data-coherent conditional equilibrium correction (EqCM) model, which is not subject to the Lucas critique. Our findings do not support the claim that Norwegian exporters act on expectations based models in the formation of prices.
  • Expectations; export prices; LQAC-model; cointegrated VAR; EqCM-model; exogeneity; Lucas critique.
  • RePEc:ssb:dispap:283
Language
  • English
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