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Seasonal fluctuations and dynamic equilibrium models of exchange rate

Jiménez Martín, Juan Ángel and Flores de Frutos, Rafael (2004) Seasonal fluctuations and dynamic equilibrium models of exchange rate. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0413, 2004, ]

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Abstract

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.


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)
Volume:2004
Number:0413
ID Code:7727
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Deposited On:11 Mar 2008
Last Modified:06 Feb 2014 07:55

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