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Seasonal fluctuations and dynamic equilibrium models of exchange rate

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Jimenez-Martin, Juan-Angel 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 13, 2004, ]

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Official URL: http://eprints.ucm.es/7727/


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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
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:13
ID Code:7727
Deposited On:11 Mar 2008
Last Modified:01 Dec 2017 13:46

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