The Theory And Empirics Of Exchange Rates

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The Theory and Empirics of Exchange Rates

Imad A. Moosa,Razzaque H. Bhatti
The Theory and Empirics of Exchange Rates Book PDF

Author : Imad A. Moosa,Razzaque H. Bhatti
Publisher : Unknown
Page : 483 pages
File Size : 52,7 Mb
Release : 2010
Category : Business & Economics
ISBN : 9812839542

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The Theory and Empirics of Exchange Rates by Imad A. Moosa,Razzaque H. Bhatti Pdf

Exchange rate economics is an important field of investigation for academics, professionals and policy-makers. This book provides a comprehensive survey of the theory of and empirical evidence on the determination and effects of exchange rates. The exposition utilizes both diagrammatic and mathematical representations of the underlying models. The book is a comprehensive reference for those engaged in this field of research. Sample Chapter(s). Chapter 1: Why DoWe Study Exchange Rates? (214 KB). Contents: Why Do We Study Exchange Rates?; Exchange Rate Determination in the Mundell-Fleming Model; The Flexible-Price Monetary Model of Exchange Rates; The Theory of the Balance of Payments; Exchange Rate Determination in the Dornbusch Model; Other Sticky-Price Monetary Models of Exchange Rates; The Monetary Model of Exchange Market Pressure; The Portfolio Balance Model of Exchange Rates; The Currency Substitution Model of Exchange Rates; The Microstructure Approach to Exchange Rates; The News Model of Exchange Rates; Empirical Evidence on the Macroeconomic Models of Exchange Rates; Empirical Evidence on the Microstructure Models of Exchange Rates; Concluding Thoughts and Remarks. Readership: Graduate students and researchers in international finance and open-economy macroeconomics; policy-makers in central and treasury banks; professional economists and forecasters.

The Theory And Empirics Of Exchange Rates

Imad A Moosa,Razzaque H Bhatti
The Theory And Empirics Of Exchange Rates Book PDF

Author : Imad A Moosa,Razzaque H Bhatti
Publisher : World Scientific
Page : 512 pages
File Size : 48,6 Mb
Release : 2009-07-15
Category : Business & Economics
ISBN : 9789814468503

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The Theory And Empirics Of Exchange Rates by Imad A Moosa,Razzaque H Bhatti Pdf

Exchange rate economics is an important field of investigation for academics, professionals and policy-makers. This book provides a comprehensive survey of the theory of and empirical evidence on the determination and effects of exchange rates. The exposition utilizes both diagrammatic and mathematical representations of the underlying models. The book is a comprehensive reference for those engaged in this field of research.

The Economics of Exchange Rates

Lucio Sarno,Mark P. Taylor
The Economics of Exchange Rates Book PDF

Author : Lucio Sarno,Mark P. Taylor
Publisher : Cambridge University Press
Page : 334 pages
File Size : 49,8 Mb
Release : 2003-01-09
Category : Business & Economics
ISBN : 9781139435048

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The Economics of Exchange Rates by Lucio Sarno,Mark P. Taylor Pdf

In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.

Exchange Rate Economics

Ronald MacDonald
Exchange Rate Economics Book PDF

Author : Ronald MacDonald
Publisher : Psychology Press
Page : 465 pages
File Size : 45,5 Mb
Release : 2007
Category : Foreign exchange
ISBN : 9780415125512

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Exchange Rate Economics by Ronald MacDonald Pdf

This book examines the influence of fiscal policy on exchange rates, recent development in the econometric modelling of exchange rates, and exchange rate modelling for developing countries.

The Economics of Exchange Rates

Lucio Sarno,Mark P. Taylor
The Economics of Exchange Rates Book PDF

Author : Lucio Sarno,Mark P. Taylor
Publisher : Cambridge University Press
Page : 334 pages
File Size : 44,7 Mb
Release : 2002
Category : Business & Economics
ISBN : 0521485843

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The Economics of Exchange Rates by Lucio Sarno,Mark P. Taylor Pdf

In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.

Exchange Rate Theory and Practice

John F. Bilson,Richard C. Marston
Exchange Rate Theory and Practice Book PDF

Author : John F. Bilson,Richard C. Marston
Publisher : University of Chicago Press
Page : 542 pages
File Size : 50,5 Mb
Release : 2007-12-01
Category : Business & Economics
ISBN : 9780226050997

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Exchange Rate Theory and Practice by John F. Bilson,Richard C. Marston Pdf

This volume grew out of a National Bureau of Economic Research conference on exchange rates held in Bellagio, Italy, in 1982. In it, the world's most respected international monetary economists discuss three significant new views on the economics of exchange rates - Rudiger Dornbusch's overshooting model, Jacob Frenkel's and Michael Mussa's asset market variants, and Pentti Kouri's current account/portfolio approach. Their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today, including those of the European Monetary System.

Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets

Robert J. Hodrick
Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets Book PDF

Author : Robert J. Hodrick
Publisher : CRC Press
Page : 190 pages
File Size : 40,8 Mb
Release : 2023-08-18
Category : Mathematics
ISBN : 9781000943382

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Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets by Robert J. Hodrick Pdf

This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.

The Effects of Real Exchange Rate Volatility on Sectoral Investment

Bahar Erdal
The Effects of Real Exchange Rate Volatility on Sectoral Investment Book PDF

Author : Bahar Erdal
Publisher : Routledge
Page : 172 pages
File Size : 48,6 Mb
Release : 2017-05-18
Category : Business & Economics
ISBN : 9781351801720

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The Effects of Real Exchange Rate Volatility on Sectoral Investment by Bahar Erdal Pdf

Originally published in 1997. This study investigates what the effects of real exchange rate volatility are on sectorial investment in the fixed and flexible exchange rate systems. It lays out the results of research into the effects of the levels and volatility of real exchange rates on investment in the manufacturing sectors of the countries in the European Monetary System as well as of the countries in the flexible exchange rate system, with data from between 1973 and 1993. Examining the differences between the two systems in the results this book also looks at exchange rate effects on interest rates at the time.

The Empirics of Exchange Rate Regimes and Trade

Mr.Charalambos G. Tsangarides,MissMahvash Qureshi
The Empirics of Exchange Rate Regimes and Trade Book PDF

Author : Mr.Charalambos G. Tsangarides,MissMahvash Qureshi
Publisher : International Monetary Fund
Page : 46 pages
File Size : 47,8 Mb
Release : 2010-02-01
Category : Business & Economics
ISBN : 9781451963199

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The Empirics of Exchange Rate Regimes and Trade by Mr.Charalambos G. Tsangarides,MissMahvash Qureshi Pdf

This paper examines the impact of exchange rate regimes on bilateral trade while differentiating the effects of "words" and "deeds". Our findings-based on an extended database for de jure and de facto exchange rate classifications-show that while fixed exchange rate regimes increase trade, there is no systematic difference in the effects of policy announcements versus actions to maintain exchange rate stability. The trade generating effect of more stable exchange rate regimes is however more pronounced when words and actions are aligned, both in the short and long-run. Policy credibility therefore plays an important role in determining the effects of de jure and de facto exchange rate arrangements such that deviations between the two could be costly. In addition, we find evidence that (i) the impact of hard pegs such as currency unions is broadly similar to that of conventional pegs; (ii) the currency union and direct peg effects evolve over time; and (iii) the effects of more stable regimes are heterogeneous across country groups.

Empirical Modeling of Exchange Rate Dynamics

Francis X. Diebold
Empirical Modeling of Exchange Rate Dynamics Book PDF

Author : Francis X. Diebold
Publisher : Springer Science & Business Media
Page : 153 pages
File Size : 44,7 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642456411

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Empirical Modeling of Exchange Rate Dynamics by Francis X. Diebold Pdf

Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.

Exchange Rates and Global Financial Policies

Paul De Grauwe
Exchange Rates and Global Financial Policies Book PDF

Author : Paul De Grauwe
Publisher : World Scientific
Page : 584 pages
File Size : 40,6 Mb
Release : 2014-02-04
Category : Business & Economics
ISBN : 9789814513203

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Exchange Rates and Global Financial Policies by Paul De Grauwe Pdf

Exchange Rates and Global Financial Policies brings together research and work done by world-class economist Paul De Grauwe over the past two decades. Drawing inspiration from behavioural finance literature, De Grauwe covers topics such as exchange rate economics, monetary integration (with particular attention on the Eurozone), and international macroeconomics. His work is categorised across three parts. The first part develops new theoretical and empirical approaches to exchange rate modelling. The second part features a collection of papers on the theory and empirical analysis of monetary unions. The final part contains criticism of mainstream macroeconomic models as well as proposed alternative modelling approaches. Contents:Exchange Rate Economics:Chaos in the Dornbusch Model of the Exchange Rate (Paul De Grauwe and Hans Dewachter)Heterogeneity of Agents, Transactions Costs and the Exchange Rate (Paul De Grauwe and Marianna Grimaldi)Exchange Rate Puzzles: A Tale of Switching Attractors (Paul De Grauwe and Marianna Grimaldi)Exchange Rates in Search of Fundamentals: The Case of the Euro–Dollar Rate (Paul De Grauwe)Exchange Rates and Fundamentals: A Non-Linear Relationship? (Paul De Grauwe and Isabel Vansteenkiste)The Impact of FX Central Bank Intervention in a Noise Trading Framework (Michel Beine, Paul De Grauwe and Marianna Grimaldi)Monetary Integration:Conditions for Monetary Integration: A Geometric Interpretation (Paul De Grauwe)Is Europe an Optimum Currency Area? Evidence from Regional Data (Paul De Grauwe and Wim Vanhaverbeke)Setting Conversion Rates for the Third Stage of EMU (Paul De Grauwe and Luigi Spaventa)The Euro and Financial Crises (Paul De Grauwe)What have We Learnt About Monetary Integration Since the Maastricht Treaty? (Paul De Grauwe)The Governance of a Fragile Eurozone (Paul De Grauwe)Do Asymmetries Matter for European Monetary Policy? (Yunus Aksoy, Paul De Grauwe and Hans Dewachter)Macroeconomics And Monetary Policy:Is Inflation always and Everywhere a Monetary Phenomenon? (Paul De Grauwe and Magdalena Polan)Monetary Policy and the Real Economy (Paul De Grauwe and Cláudia Costa Storti)Lessons from the Banking Crisis: A Return to Narrow Banking (Paul De Grauwe)The Scientific Foundation of Dynamic Stochastic General Equilibrium (DSGE) Models (Paul De Grauwe)Animal Spirits and Monetary Policy (Paul De Grauwe)Booms and Busts in Economic Activity: A Behavioral Explanation (Paul De Grauwe) Readership: Graduate students and researchers in the fields of international economics and international finance. Keywords:Exchange Rate;Financial Policies;Turbulence;Exchange Market;Motenary Union;Macroeconomics;Economic Models;Behaviorial Economics;Monetary Integration;Euro;Financial Crisis;European Monetary Policy;Dynamic Stochastic General EquilibriumauthorKey Features:Cover a wide range of issues in international macroeconomics and international financeUse insights of behavioral economics making it possible to better understand macroeconomic dynamics

Floating Exchange Rates

Ronald MacDonald
Floating Exchange Rates Book PDF

Author : Ronald MacDonald
Publisher : Psychology Press
Page : 323 pages
File Size : 42,8 Mb
Release : 1988
Category : Business & Economics
ISBN : 0415109264

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Floating Exchange Rates by Ronald MacDonald Pdf

Since the collapse of the Bretton Woods system of fixed but adjustable exchange rates in 1973, the principal trading economies have moved to a system of floating exchange rates. The macroeconomic consequences of such a situation are many and various, and have increasingly attracted the attention of professional economists since the 1970s. This book draws together the now vast theoretical and empirical literature in a coherent and logical fashion, presenting in Part I the principal macroeconomic models which have been developed, and in Part II, the empirical data supporting them. Part III then enlarges on particular themes, discussing topics such as dual exchange rates, the wage-price nexus and the behaviour of the US dollar (1980-1985).

Exchange Rates and International Finance

Laurence S. Copeland
Exchange Rates and International Finance Book PDF

Author : Laurence S. Copeland
Publisher : Pearson Education
Page : 516 pages
File Size : 51,6 Mb
Release : 2005
Category : Business & Economics
ISBN : 0273683063

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Exchange Rates and International Finance by Laurence S. Copeland Pdf

Exchange rates and exchange rate fluctuation continue to play an increasingly important role in all our lives. Exchange Rates and International Finance fourth edition provides a clear and concise guide to the causes and consequences of exchange rate fluctuations, enabling you to grasp the essentials of the theory and its relevance to major events in currency markets. The orientation of the book is towards exchange rate determination with particular emphasis given to the contributions of modern finance theory. Both fixed and floating exchange rate models and empirical results are explored and discussed. KEY FEATURES A clear, non-technical explanation of the issues, emphasising intuitive understanding and interpretation of economic arguments rather than mathematical proofs. A balanced summary of the state of our knowledge in this area, including explanations of the problems faced by researchers in this field, and an indication of what questions remain open. Provides a sound overview of empirical evidence, without going into intricate detail: a springboard for those wishing to delve deeper into the published literature. Early chapters explain the basics of demand and supply, and basic macroeconomics, so those without prior study in economics will find the subject accessible. Covers leading edge material including the latest general equilibrium approaches. NEW TO THIS EDITION Thoroughly updated to reflect recent events on the world monetary/financial scene. More included on recent empirical results. New chapter on general equilibrium models to cover the latest thinking on more advanced techniques. Expanded and up-to-date coverage of the Euro. Extended coverage of recent innovations on the Law of One Price and Purchasing Power Parity. New section on the relationship between PPP, UIRP and the Fisher equation. Suitable for those following a course on international macroeconomics, international finance, or international money as a part of an economics or business programme at undergraduate, MBA or specialist Masters levels. Laurence Copeland is Professor of Finance at Cardiff University, UK.

The Monetary Approach to the Balance of Payments

Jacob Frenkel,Harry Johnson
The Monetary Approach to the Balance of Payments Book PDF

Author : Jacob Frenkel,Harry Johnson
Publisher : Routledge
Page : 389 pages
File Size : 55,5 Mb
Release : 2013-07-18
Category : Business & Economics
ISBN : 9781135043490

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The Monetary Approach to the Balance of Payments by Jacob Frenkel,Harry Johnson Pdf

This book collects together the basic documents of an approach to the theory and policy of the balance of payments developed in the 1970s. The approach marked a return to the historical traditions of international monetary theory after some thirty years of departure from them – a departure occasioned by the international collapse of the 1930s, the Keynesian Revolution and a long period of war and post-war reconstruction in which the international monetary system was fragmented by exchange controls, currency inconvertibility and controls over international trade and capital movements.