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Nicolaus Copernicus University
Faculty of Economic Sciences and Management
The Department of Econometrics and Statistics

Professor Zygmunt Zieliński
International Conference
Dynamic Econometric Models



prof. Katarina Juselius
Department of Economics, University of Copenhagen, Denmark
Professor emeritus

A worldwide known specialist in econometric modeling, particularly I(1) and I(2) processes, as well as applied econometric studies such as monetary transmission mechanisms; wage, price, and unemployment dynamics, exchange rate determination and the financial crisis. At present she leads research in the area of balance sheet recessions, macroeconomic transmission mechanisms in developing countries, climate change, testing for near unit roots and Haavelmo's probability approach to economics. Professor K Juselius authored and co-authored a numerous literature on the time series econometrics, contributing significantly in the contemporary shape of both methodology and macroeconomic applications.
Presentation title: "Are outcomes driving expectations or the other way around? An I(2) CVAR analysis of interest rate expectations in the dollar/pound market"

Abstract: This paper uses consensus forecasts to address empirical puzzles in international macro using the Cointegrated VAR model. The data, consisting of three-month libor rates, their three-month ahead fore- casts, prices and exchange rates for the US and UK, were all found to be near I(2) consistent with imperfect knowledge expectations. The I(2) analysis showed that over the medium run the nominal exchange rate has moved away from equilibrium values with interest rates fol- lowing suit, whereas over the long run the nominal exchange rate was adjusting while the interest rate forecasts pushed the system away from steady state. Evidence of self-reinforcing feedback mechanisms in the system signals the importance of speculative bubbles for the determination of the exchange rate and the interest rates.

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