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Seasonal fluctuations and dynamic equilibrium models of exchange rate


Jimenez-Martin, Juan-Angel y 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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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.

Tipo de documento:Documento de trabajo o Informe técnico
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JEL classification: F31, F37, G15

Palabras clave:Exchange rate, Equilibrium model, Seasonality
Materias:Ciencias Sociales > Economía > Econometría
Título de serie o colección:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Código ID:7727

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Última Modificación:19 Jun 2015 11:34

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