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Seasonal Fluctuations and Dynamic Equilibrium Models of Exchange Rate

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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.

Suggested Citation

  • Juan-Ángel Jiménez-Martín & Rafael Flores de Frutos, 2004. "Seasonal Fluctuations and Dynamic Equilibrium Models of Exchange Rate," Documentos de Trabajo del ICAE 0413, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    • Handle: RePEc:ucm:doicae:0413
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    References listed on IDEAS

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    More about this item

    Keywords

    Exchange rate; Equilibrium model; Seasonality.;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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