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The fit of dynamic equilibrium models of exchange rate

Jiménez Martín, Juan Ángel and Flores de Frutos, Rafael (2004) The fit of dynamic equilibrium models of exchange rate. [Working Paper or Technical Report]


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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).

Item Type:Working Paper or Technical Report
Additional Information:JEL classification: F31, F37, G15
Uncontrolled Keywords:Exchange rate, Equilibrium model, Seasonality
Subjects:Social sciences > Economics > Econometrics
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
ID Code:7725

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Deposited On:11 Mar 2008
Last Modified:06 Feb 2014 07:55

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