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This document summarizes a homework solution for a macroeconomics course. It presents: 1) A state-space representation of a common stochastic trend model for spot and forward exchange rates, with a measurement equation relating the observed variables to unobserved states, and a state equation describing the evolution of the states over time. 2) A bivariate VAR(1) time series model relating two variables yt and xt over time, and noting that the model is stationary since the eigenvalues of the coefficient

Author

kacsabe

Language

EN