Una ilustración en el modelo MF estocásticode Mark (2000): simulación y estimación del efecto desbordamiento

Abstract

By iterating the expectations, we verify that the solution of rational expectations reported by Mark (2000) is unique for the stochastic Mundell-Fleming (MF) model. In addition, with simulated data and R software, we estimate the overshooting’s Dornbusch (1976) on the stochastic MF model. In particular, the exercise suggests using some variants of the VAR estimate due to collinearity in exogenous unit root processes.