Seasonal fluctuations and dynamic equilibrium models of exchange rate

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https://doi.org/10.1080/00036840701222603

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2004

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Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
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https://hdl.handle.net/20.500.14352/56615

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Jiménez-Martín, J. Á., & Frutos, R. F. de. (2009). Seasonal fluctuations and equilibrium models of exchange rate. Applied Economics, 41(20), 2635–2652. https://doi.org/10.1080/00036840701222603

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.

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Econometría (Economía)

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5302 Econometría

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