Stochastic Simulation of the Exchange Rate

Corina Sbughea and Anamaria Aldea

Economics and Applied Informatics, 2007, issue 1, 117-126

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.

Keywords: behavioral finance; rational expectations; fundamental exchange rate; non-fundamental equilibrium (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:ddj:fseeai:y:2007:i:1:p:117-126

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