Bacchetta, Philippe; Van Wincoop, Eric; Beutler, Toni - 2009
nominal
exchange rate of commodity currencies with commodity export prices improves the in-sample t.
In terms of out …
!
= Nvar( )h (11)
where
h = z 2L 1
L 1X
i=1
(L i)
h
1 ( )i
i
+ 2L(L 1)
LX
i=2
(i 1)
h
1 ( )i
i
and z > 0 is the expectation …(u)
Nvar(f)[ 2 +var( )] +var(u) +
Nvar(f)var( )(1 !)
Nvar(f)[ 2 +var( )] +var(u) (18)
where
! = 2
L 2
L2(L 1) +
1
L 1z
!L 1X
i …