The Fragility of Overshooting

Using VAR, a large literature claims to find evidence of some form of Dornbuschovershooting. But the evidence is fragile in the sense of Leamer. The literature uses the wrong test for overshooting, unusually narrow confidence intervals and questionable shocks. In addition, it is difficult to reconcile overshooting with the fact that daily and weekly exchangerates are approximately martingales.

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Year of publication:	2012-05-30
Authors:	Pippenger, John
Institutions:	Department of Economics, University of California-Santa Barbara (UCSB)
Subject:	Business \| Social and Behavioral Sciences \| overshooting \| fragility \| exchange rate \| martingale \| impulse response \| step response

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Extent:	application/pdf
Series:	University of California at Santa Barbara, Economics Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Departmental Working Papers
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010678006