Seasonal Fluctuations and Dynamic Equilibrium Models of Exchange Rate

Juan Jimenez-Martin and Rafael Flores de Frutos
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Rafael Flores de Frutos: Universidad Complutense de Madrid, Facultad de CC. Económicas y Empresariales, Dpto. de Fundamentos de Análisis Económico II., https://www.ucm.es/fundamentos-analisis-economico2

Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

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.

Keywords: Exchange rate; Equilibrium model; Seasonality. (search for similar items in EconPapers)
JEL-codes: F31 F37 G15 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2004
New Economics Papers: this item is included in nep-ifn
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