Seasonal fluctuations and dynamic equilibrium models of exchange rate
| dc.contributor.author | Jiménez Martín, Juan Ángel | |
| dc.contributor.author | Flores de Frutos, Rafael | |
| dc.date.accessioned | 2023-06-20T16:39:20Z | |
| dc.date.available | 2023-06-20T16:39:20Z | |
| dc.date.issued | 2004 | |
| dc.description.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. | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
| dc.description.refereed | TRUE | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/7727 | |
| dc.identifier.relatedurl | https://www.ucm.es/icae | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/56615 | |
| dc.issue.number | 13 | |
| dc.language.iso | eng | |
| dc.page.total | 26 | |
| dc.publication.place | Madrid | |
| dc.publisher | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | |
| dc.relation.ispartofseries | Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE) | |
| dc.rights.accessRights | open access | |
| dc.subject.jel | F31 | |
| dc.subject.jel | F37 | |
| dc.subject.jel | G15 | |
| dc.subject.keyword | Exchange rate | |
| dc.subject.keyword | Equilibrium model | |
| dc.subject.keyword | Seasonality | |
| dc.subject.ucm | Econometría (Economía) | |
| dc.subject.unesco | 5302 Econometría | |
| dc.title | Seasonal fluctuations and dynamic equilibrium models of exchange rate | |
| dc.type | technical report | |
| dc.volume.number | 2004 | |
| dcterms.references | Altug, S., 1983. “Gestion lags and the business cycle: an empirical analysis”, CarnegieMellon Working Paper, presented in The Econometric Society meeting, Stanford University, Carnegie-Mellon University, Pittsburgh, PA. Becker, G., Stigler, G., 1977. “De Gustibus Non Est Disputandum”, American Economic Review, 67, 76-90. Box, G.E.P., Jenkins, G.M., 1970. Time Series Analysis, Forecasting and Control, ed. Holden-Day, San Francisco. Box, G. E. P., Tiao, G. C., 1975. “Intervention Analysis with applications to economic and environmental problems”, Journal of American Statistical Association, 70, 70-79. Eichenbaum, M. S., Hansen L. P., Singleton, K. J., 1984. “A time series analysis of representative agent models of consumption and leisure choice under uncertainty”, mimeo, Pittsburgh, Carnegie-Mellon University. Grilli, V., Roubini, N., 1992. “Liquidity and exchange rates”, Journal of International Economics, 33, 339-352. Hansen, L. P., Sargent, T. J., 1993. “Seasonality and approximation error in rational expectations models”, Journal of Econometrics, 55, 21-55. Hansen, L. P., Singleton, K. J., 1982. “Generalized instrumental variables estimation of nonlinear rational expectations models”, Econometrica, 50 (5), 1269-1286. Hildreth, C., Knowles, G. J., 1986. “Farmers' Utility Functions”, in Bayesian Inference and Decision Techniques: Essays in Honor of Bruno de Finetti. Studies in Bayesian Econometrics and Statistics Series, 6, Amsterdam and Oxford: NorthHolland; distributed in the U.S. and Canada by Elsevier Science, New York, in Goel, P. and Zellner, A. (ed.), 291-317. Jiménez, J. A., Flores, R., 2004. “The Fit of Dynamic Equilibrium Models of Exchange Rate”, in evaluation. http://www.ucm.es/info/ecocuan/jajm . Kehoe, T., 1983. “Dynamics of the current account: theoretical and empirical analysis”, Working Paper, Harvard University, Cambridge, MA. Kydland, F. E., Prescott, E. C., 1982. “Time to Build and Aggregate Fluctuations”, Econometrica, 50, 1345-1370. Lancaster, K. J., 1966. “A new approach to consumer theory”, Journal of Political Economic, 74, 132-157. Lucas, R. E. JR, 1982. “Interest rates and currency prices in a two-country world”, Journal of Monetary Economics, 10, 335-359. Lucas, R. E. JR, 1990. “Liquidity and interest rates”, Journal of Economic Theory, 50, 237-264. MacKinnon, J., 1990. "Critical Values for Cointegration Tests", University of California at San Diego, Economics Working Paper Series 90-4, Department of Economics, UC San Diego. Mankiw, N. G., 1985. “Consumer durables and the real interest rate”, Review Economics and Statistic, 67, 353-362. Mankiw, N. G., Rotemberg, J. J., Summers, L. H., 1985. “Intertemporal substitution in macroeconomics”, Quarterly Journal Economic, 100, 225-251. Mehra, R., Prescott, E. C., 1985. “The Equity premium: a puzzle”, Journal of Monetary Economics, 15, 145-161. Miron, A. J., 1986. “Seasonal fluctuations and the life cycle-permanent income model of consumption”, Journal of Political Economy, 94, 1258-1279. Sims, C. A., 1993. “Rational expectations modelling with seasonally adjusted data”, Journal of Econometrics, 55, 9-19. Wallis, K. F., 1974. “Seasonal Adjustment and the relation between variables”, Journal of the American Statistical Association, 69, 13-32. | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 05235eb8-c478-4f0b-ada4-68ba02d31095 | |
| relation.isAuthorOfPublication.latestForDiscovery | 05235eb8-c478-4f0b-ada4-68ba02d31095 |
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