期刊名称：Central European Journal of Economic Modelling and Econometrics
印刷版ISSN：2080-0886
电子版ISSN：2080-119X
出版年度：2017
期号：1
页码：1-27
语种：English
出版社：Polska Akademia Nauk
摘要：A review of the contemporary mainstream literature on exchange ratemodelling clearly indicates that the rational expectations hypothesis (RE) isalmost invariably taken as a point of reference in empirical investigations. Thispaper tests the RE hypothesis for the Polish foreign exchange market within theRoman Frydman and Michael Goldberg model that builds on the hypothesisof imperfect knowledge economics (IKE). The employed modelling strategyconsists in the formulation of assumptions about the persistence of nominalrate, prices and interest rates and of the verification of competing scenarioscongruent with RE and IKE. As a result of the analysis, the RE hypothesis isrejected in favour of the IKE alternative.
关键词：purchasing power parity;expectations;econometric modelling;cointegration;transition economies
