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

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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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  • Oscar Bajo Rubio & María Dolores Montávez Garcés, 1998. "Tipo de cambio, expectativas y nueva información: evidencia para el caso de la peseta, 1986-1996," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 9801, Departamento de Economía - Universidad Pública de Navarra.
    • Handle: RePEc:nav:ecupna:9801
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