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Expectativas racionales y política monetaria endógena en la determinación del tipo de cambio. Una ampliación empírica a la pseta-dolar y la peseta-ecu

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  • Herrera Revuelta, Julio

    (Universidad de Valladolid)

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    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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    Bibliographic Info

    Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

    Volume (Year): 7 (1997)
    Issue (Month): (Junio)
    Pages: 39-66

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    Handle: RePEc:lrk:eeaart:7_2_3

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    Related research

    Keywords: Tipo de cambio; política monetaria endógena;

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    References

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    1. Hoffman, Dennis L. & Schlagenhauf, Don E., 1983. "Rational expectations and monetary models of exchange rate determination : An empirical examination," Journal of Monetary Economics, Elsevier, Elsevier, vol. 11(2), pages 247-260.
    2. Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear RationalExpectations Models," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0005, National Bureau of Economic Research, Inc.
    3. Jacob A. Frenkel & Carlos A. Rodriguez, 1982. "Exchange Rate Dynamics and the Overshooting Hypothesis," NBER Working Papers 0832, National Bureau of Economic Research, Inc.
    4. Papell, David H., 1988. "Expectations and exchange rate dynamics after a decade of floating," Journal of International Economics, Elsevier, Elsevier, vol. 25(3-4), pages 303-317, November.
    5. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 1(1), pages 19-46, January.
    6. MacDonald, Ronald & Taylor, Mark P., 1994. "The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk," Journal of International Money and Finance, Elsevier, Elsevier, vol. 13(3), pages 276-290, June.
    7. Jacob A. Frenkel, 1983. "Monetary Policy: Domestic Targets and International Constraints," NBER Working Papers 1067, National Bureau of Economic Research, Inc.
    8. Taylor, John B., 1986. "New econometric approaches to stabilization policy in stochastic models of macroeconomic fluctuations," Handbook of Econometrics, Elsevier, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 3, chapter 34, pages 1997-2055 Elsevier.
    9. Papell, David H., 1985. "Activist monetary policy, imperfect capital mobility, and the overshooting hypothesis," Journal of International Economics, Elsevier, Elsevier, vol. 18(3-4), pages 219-240, May.
    10. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 84(6), pages 1161-76, December.
    11. Taylor, John B., 1980. "Output and price stability: An international comparison," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 2(1), pages 109-132, May.
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