Agents' Rationality and the CHF/USD Exchange Rate, Part I

The analysis of monthly exchange rates is carried out using a model of McCallum, which is based on the concept of Rational Expectations. Applying the model to the CHF/USD exchange rate starting a misspecification analysis, the RE component appears to be a weak point of the model. The theory of rational beliefs of M. Kurz generalizes the RE concept introducing special consideration of Data Generating Processes (DGP). We find, however, some evidence speaking against the rational belief approach (with respect to the CHF/USD exchange rate) which is related to regime switchings and the presence of unobserved variables in the data-generating process. It appears that the rationality of economic agents depends on complex cognitive processes not discussed by Kurz, but taken into account in a ''story'' by Paul De Grauwe. This story will be supplemented in Part II of the paper in order to eliminate the RE component and to proceed with the misspecification analysis of McCallum's model

Agents' Rationality and the CHF/USD Exchange Rate, Part II

In Part I the author was concerned with modeling the monthly logarithmicnCHF/USD exchange rate, ''s''. He rejected a model proposed by B.T.nMcCallum. Searching for a more appropriate framework a story by P. DenGrauwe was introduced, bringing complex cognitive processes and socialnpractices into the picture.nThis paper treats again P. De Grauwe's story, supplements it and embedds itninto a broader setting showing its links to a subtle concept of agents'nrationality. We derive a testable implication of this approach. Althoughnthe test result is negative, it will be helpful for the misspecificationnanalysis of B.T. McCallum's model (applied to ''s''), which will finally benpresented in Part III of this paper

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..General Economics and Methodology

Einige Bemerkungen über die Rolle der Spektralanalyse in der empirischen Wirtschaftsforschung

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Agents' Rationality and the CHF/USD Exchange Rate, Part I

The analysis of monthly exchange rates is carried out using a model of McCallum, which is based on the concept of Rational Expectations. Applying the model to the CHF/USD exchange rate starting a misspecification analysis, the RE component appears to be a weak point of the model. The theory of rational beliefs of M. Kurz generalizes the RE concept introducing special consideration of Data Generating Processes (DGP). We find, however, some evidence speaking against the rational belief approach (with respect to the CHF/USD exchange rate) which is related to regime switchings and the presence of unobserved variables in the data-generating process. It appears that the rationality of economic agents depends on complex cognitive processes not discussed by Kurz, but taken into account in a ''story'' by Paul De Grauwe. This story will be supplemented in Part II of the paper in order to eliminate the RE component and to proceed with the misspecification analysis of McCallum's model.General Economics and Methodology