Herrera Revuelta, Julio (Universidad de Valladolid)
Abstract
En este trabajo se ha planteado y estimado un modelo de determinación del tipo de cambio al estilo de Dornbusch, en la versión de Papell aplicada al caso de un país pequeño. El modelo incluye los supuestos de producción variable a corto plazo, imperfecta movilidad del capital y una regla de comportamiento de la autoridad monetaria. El modelo se soluciona mediante el métido de los coeficientes indeterminados y se estima por máxima verosimilitud, donde los parámetros de la forma reducida están restringidos por los parámetros estructurales del modelo. Los resultados obtenidos muestran que la imperfecta movilidad del capital junto con la variabilidad de la producción y la regla monetaria dan como resultado "sobrerreacción" para el caso del dólar e "infrarreacción" para el caso del ECU. Las autoridades monetarias usan la información de los mercados de cambios para estabilizar la producción. In this paper we have raised and estimated a Dornbusch style model of the exchange rate determination, in the version used by Papell, to the dollar-poeseta and ECU-peseta exchange rates in which we have included the imperfect capital mobility and the output variability in the sort run together with a monetary rule to include the intervention of monetary authorities. The model is solved by undetermined coefficients method and estimated by maximum likelihood, where the parameters of the reduced form are restricted by the structural parameters of the model. The results showw that the imperfect capital mobility together the output variability produce overshooting for the dollar and undershooting for the ECU. They show too, that the monetary authorities use the information of the exchange rate market to control real output.
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Find related papers by JEL classification: E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies F31 - International Economics - - International Finance - - - Foreign Exchange
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