The fit of dynamic equilibrium models of exchange rate
The two-country monetary model has become a fundamental tool for explaining the behavior of the exchange rate. However, the popularity of this approach is not justified by its empirical support. One of the reasons for the empirical “failure” of exchange rate models could be the econometric approach...
| Autores: | , |
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| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 2004 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/56613 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/56613 |
| Access Level: | acceso abierto |
| Palabra clave: | F31 F37 G15 Exchange rate Equilibrium model Seasonality Econometría (Economía) 5302 Econometría |
| Sumario: | The two-country monetary model has become a fundamental tool for explaining the behavior of the exchange rate. However, the popularity of this approach is not justified by its empirical support. One of the reasons for the empirical “failure” of exchange rate models could be the econometric approach applied. In this paper, an alternative procedure for evaluating the fit of dynamic equilibrium models of exchange rate is suggested. This approach is applied to three theoretical models: Lucas (1982), Svensson (1985), and Grilli and Roubini (1992). |
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