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Stochastic Simulation of the Exchange Rate

Author

Listed:
  • Corina SBUGHEA

    (“Dunarea de Jos” University of Galati)

  • Anamaria ALDEA

    (Academy of Economic Studies – Bucharest)

Abstract

This paper aims to illustrate the turbulent processes from financial markets, using stochastic simulation tools for this. In order to achieve this goal, we chose a suggestive model of the exchange rate behaviour, proposed by De Grauwe and Grimaldi. Having at our disposal the modelling facilities offered by Eviews software, we managed to trace some significant trajectories for the actual behaviour of the exchange rate, which are consistent with the conclusions reached by the authors of the model.

Suggested Citation

  • Corina SBUGHEA & Anamaria ALDEA, 2007. "Stochastic Simulation of the Exchange Rate," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 1, pages 117-126.
    • Handle: RePEc:ddj:fseeai:y:2007:i:1:p:117-126
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