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Tipo de cambio, expectativas y nueva información: evidencia para el caso de la peseta, 1986-1996

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Author Info
Oscar Bajo Rubio (Univ. Publica de Navarra - Departamento de Economia)
María Dolores Montávez Garcés () (Univ. Pública de Navarra - Departamento de Economía)

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Abstract

En este trabajo se realiza un contraste del modelo de nueva información para los casos del tipo de cambio de la peseta con respecto al marco alemán y al dólar estadounidense, utilizando datos mensuales para el periodo enero de 1986 - junio de 1996. Se consideran 'noticias' sobre la oferta monetaria, el nivel de actividad, el tipo de interés nominal, la tasa de inflación, el saldo de la balanza comercial y el saldo presupuestario del sector público, para España, Alemania y Estados Unidos, y a partir de tres métodos alternativos: la metodología ARIMA, el filtro de Kalman y el filtro de Hodrick-Prescott. Los resultados muestran un efecto parcial de la nueva información respecto a dichas variables sobre las fluctuaciones de los tipos de cambio analizados.

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Publisher Info
Paper provided by Departamento de Economía - Universidad Pública de Navarra in its series Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra with number 9801.

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Length: 19 pages
Date of creation: Jan 1998
Date of revision:
Handle: RePEc:nav:ecupna:9801

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Related research
Keywords: tipos de cambio; nueva informacion; expectativas;

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References listed on IDEAS
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  3. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February. [Downloadable!] (restricted)
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    Other versions:
  6. Chinn, Menzie D. & Meese, Richard A., 1995. "Banking on currency forecasts: How predictable is change in money?," Journal of International Economics, Elsevier, vol. 38(1-2), pages 161-178, February. [Downloadable!] (restricted)
  7. Rudiger Dornbusch, 1980. "Exchange Rate Economics: Where Do We Stand?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 11(1980-1), pages 143-206. [Downloadable!]
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