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Heterogeneity of agents, transactions costs and the exchange rate

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  • De Grauwe, Paul
  • Grimaldi, Marianna

Abstract

The following sections are included:IntroductionA Simple Non-Linear Exchange Rate ModelThe Model with Transactions CostsSolution of the ModelSensitivity AnalysisThe Stochastic Version of the ModelThe Effect of Permanent ShocksEmpirical Relevance of the ModelIs Chartism Evolutionary Stable?ConclusionAppendix 1: Diagnosis of GARCH Structure in the Simulated Exchange Rate ReturnsReferences
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  • De Grauwe, Paul & Grimaldi, Marianna, 2005. "Heterogeneity of agents, transactions costs and the exchange rate," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 691-719, April.
    • Handle: RePEc:eee:dyncon:v:29:y:2005:i:4:p:691-719
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