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Can Equilibrium Models Replicate the Stochastic Properties of the Exchange Rates?/¿Se pueden replicar las propiedades estocásticas del tipo de cambio con un modelo de Equilibrio?

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  • JIMÉNEZ MARTÍN, JUAN ÁNGEL

    () (Dpto. de Fundamentos de Análisis Económico II, Universidad Complutense, Facultad de Económicas y Empresariales, Somosaguas, Madrid, 28223, Spain. Tel.: +34 91 394 23 55. Fax: +34 91 394 2613.)

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 justifi ed 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 fi t 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). El modelo monetario de dos países y dos bienes se ha convertido en una herramienta fundamental para explicar el comportamiento del tipo de cambio. Sin embargo, la popularidad de este enfoque no viene justifi cada por el apoyo empírico que se ha encontrado en la literatura. Una de las razones que pueden explicar este “fracaso” podría ser el enfoque econométrico utilizado al contrastarlos. En este artículo, se propone un procedimiento alternativo para evaluar la capacidad de ajuste de los modelos de equilibrio del tipo de cambio y se aplica sobre tres modelos teóricos: Lucas (1982), Svensson (1985) y Grilli y Roubini (1992).

Suggested Citation

  • Jiménez Martín, Juan Ángel, 2006. "Can Equilibrium Models Replicate the Stochastic Properties of the Exchange Rates?/¿Se pueden replicar las propiedades estocásticas del tipo de cambio con un modelo de Equilibrio?," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 24, pages 361-395, Abril.
  • Handle: RePEc:lrk:eeaart:24_1_12
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    References listed on IDEAS

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    More about this item

    Keywords

    Exchange rate; Equilibrium Model; Seasonality/Tipo de Cambio; Modelos de Equilibrio; Estacionalidad.;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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