Estimación de un modelo de equilibrio de cartera para el tipo de cambio peseta-Dolar
ISSN: 2255-5471
Ano de publicación: 1992
Número: 29
Tipo: Documento de traballo
Outras publicacións en: Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales
Resumo
This paper is concerned with assessing the relevance of the portfolio-balance model of exchange rate determination in explaning the behaviour of the Spanish Peseta vis-s-vis the U.S. Dollar during the 1977-1988 period. To account for the non-stationarity of exchange rates and their possible determinants, we test for the existence of a long-run equilibrium relationship between them using the cointegration analysis and its associated concepts of error correction model.