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The fit of dynamic equilibrium models of exchange rate

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Jimenez-Martin, Juan-Angel and Flores de Frutos, Rafael (2004) The fit of dynamic equilibrium models of exchange rate. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 11, 2004, ]

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Official URL: http://eprints.ucm.es/7725/


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Abstract

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
Uncontrolled Keywords:Exchange rate, Equilibrium model, Seasonality
Subjects:Social sciences > Economics > Econometrics
JEL:F31, F37, G15
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2004
Number:11
ID Code:7725
Deposited On:11 Mar 2008
Last Modified:01 Dec 2017 13:44

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