VOLUME VIII
AUTUMN 2000

EXCHANGE RATES, EXPECTATIONS AND NEWS: THE CASE OF PESETA, 1986-1996
 
ÓSCAR BAJO RUBIO
MARÍA DOLORES MONTÁVEZ GARCÉS

Universidad Pública de Navarra
 
In this paper we test the 'news' model for the peseta-German mark and peseta-US dollar cases, using monthly data for the period January 1986-June 1996. We consider 'news' on the money supply, the level of activity, the nominal interest rate, the inflation rate, the trade balance and the public sector budget balance, for Spain, Germany and the United States, and from four alternative methods: the ARIMA methodology, the Kalman filter, the Hodrick-Prescott filter and the Bean 'surprise' model. The results show a partial effect from 'news' with respect to these variables on the fluctuations of the exchange rates under study.
 
Key words: exchange rates, news, expectations.
JEL classification: F30, F31, G15.

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