Seasonal fluctuations and dynamic equilibrium models of exchange rate
Most dynamic equilibrium models of exchange rate are not able to generate monthly time series with the typical properties of actual exchange rate. If the exogenous endowments in an equilibrium exchange rate model contain seasonal variations, then the exchange rate will as well. In this paper, we sho...
| Autores: | , |
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| Formato: | artículo |
| Fecha de publicación: | 2004 |
| País: | España |
| Recursos: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/56615 |
| Acesso em linha: | https://hdl.handle.net/20.500.14352/56615 |
| Access Level: | acceso abierto |
| Palavra-chave: | F31 F37 G15 Exchange rate Equilibrium model Seasonality Econometría (Economía) 5302 Econometría |
| Resumo: | Most dynamic equilibrium models of exchange rate are not able to generate monthly time series with the typical properties of actual exchange rate. If the exogenous endowments in an equilibrium exchange rate model contain seasonal variations, then the exchange rate will as well. In this paper, we show how in this framework, seasonal preferences can help to remove seasonality of the exchange rate simulated time series. |
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