Abstract

LIZARAZU ALANEZ, Eddy. An illustration in Mark's Stochastic MF model (2000): simulation and estimation of the overflow effect. Anál. econ. [online]. 2020, vol.35, n.89, pp.143-172.  Epub Nov 13, 2020. ISSN 2448-6655.

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.

Keywords : Impulse-response function; Mundell-Fleming model; numerical simulation; overshooting; VAR estimation.

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