미국 달러 가치내의 합리적 거품규모 추정

Estimation of Rational Bubbles in the U.S. Dollar Exchange Rates

This paper employs the Kalman filter technique to estimate stochastic bubbles for exchange rates between the U.S. dollar and the Euro and the Canadian dollar. We obtain a significant evidence supporting that the U.S. dollar has recently been undervalued below its fundamental values. The results are qualitatively the same when the model is extended to incorporate conditional heteroskedasticity in errors.

Ⅰ. 서론

Ⅱ. 환율 결정 모형

Ⅲ. 추정에 사용된 자료와 추정결과

Ⅳ. 결론

인용문헌

Abstract

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