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130 CHAPTER 4. THE LUCAS MODELdiscount factor to be β =0.99 and simulate the model as follows.Draw a sequence of T realizations of the gross change in the exchangerate, the forward premium, and the risk premium with theinitial state vector drawn from probabilities of the initial probabilityvector, v. Let u t be a iid uniform random variable on [0, 1]. The rulefor determining the initial state is,φ 1if u t
4.5. CALIBRATING THE LUCAS MODEL 131is much too small. The implied persistence of the depreciation and theforward premium is also too low to be consistent with the data.The model does predict that the forward rate is a biased predictorof the future spot rate due to the presence of a risk premium. However,the size of the implied risk premium appears to be too small to providean adequate explanation for the data. We study the forward premiumpuzzle in greater detail in chapter 6.
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To Shirley, Laurie, and Leslii
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CONTENTSvii11 Balance of Payments C
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2 CHAPTER 1. SOME INSTITUTIONAL BAC
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Page 170 and 171: 162CHAPTER 6. FOREIGN EXCHANGE MARK
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180CHAPTER 6. FOREIGN EXCHANGE MARK
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208 CHAPTER 7. THE REAL EXCHANGE RA
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230 CHAPTER 8. THE MUNDELL-FLEMING
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264CHAPTER 9. THE NEW INTERNATIONAL
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308 CHAPTER 10. TARGET-ZONE MODELSa
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310 CHAPTER 10. TARGET-ZONE MODELSt
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312 CHAPTER 10. TARGET-ZONE MODELSC
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314 CHAPTER 10. TARGET-ZONE MODELSl
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316 CHAPTER 10. TARGET-ZONE MODELST
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318 CHAPTER 10. TARGET-ZONE MODELSa
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320 CHAPTER 10. TARGET-ZONE MODELSM
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322 CHAPTER 10. TARGET-ZONE MODELSt
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324 CHAPTER 10. TARGET-ZONE MODELS
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326 CHAPTER 10. TARGET-ZONE MODELS
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328 CHAPTER 11. BALANCE OF PAYMENTS
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358 AUTHOR INDEXFama, E.F., 161, 16
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Subject IndexAAbsorption, 16, 230AI
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362 SUBJECT INDEXEfficient capital
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364 SUBJECT INDEXMethod of undeterm
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366 SUBJECT INDEXRisk neutrality, 9
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368 SUBJECT INDEXImpulse response a
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