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The Fit of Dynamic Equilibrium Models of Exchange Rate

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Author Info
Juan Ángel Jiménez Martín () (Universidad Complutense de Madrid. Facultad de CC. Económicas y Empresariales. Dpto. de Fundamentos de Análisis Económico II.)
Rafael Flores de Frutos (Universidad Complutense de Madrid. Facultad de CC. Económicas y Empresariales. Dpto. de Fundamentos de Análisis Económico II.)

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Abstract

The two-country monetary model has become a fundamental tool for explaining the behavior of the exchange rate. However, the popularity of this approach is not justified by its empirical support. One of the reasons for the empirical “failure” of exchange rate models could be the econometric approach applied. In this paper, an alternative procedure for evaluating the fit of dynamic equilibrium models of exchange rate is suggested. This approach is applied to three theoretical models: Lucas (1982), Svensson (1985), and Grilli and Roubini (1992).

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File URL: http://www.ucm.es/eprints/7725/
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Publisher Info
Paper provided by Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales in its series Documentos del Instituto Complutense de Análisis Económico with number 0411.

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Date of creation: 2004
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Handle: RePEc:ucm:doicae:0411

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