Exchange Rate Economics: Theories and Evidence

Tables
1.1 Global foreign exchange market turnover 5
1.2 Volumes and volatility of foreign exchange turnover 5
1.3 Currency distribution of reported foreign exchange market
turnover 6
1.4 Coefficients of variation of exchange rates and fundamentals 21
1.5 Exchange rate regime classifications 29
2.1 Engle–Granger two-step cointegration tests 54
2.2 Multivariate cointegration tests of PPP 55
6.1 Summary of different monetary models 137
6.2 Cointegration results for the monetary model 145
6.3 Cointegration results for the mark–dollar exchange rate 146
6.4 Dynamic forecast statistics 151
6.5 SEM equations: United Kingdom 154
6.6 Dynamic forecasting performance 155
6.7 Forecasting performance from a tripolar model 156
6.8 Root mean square error ratios for the monetary model of
La Cour and MacDonald 156
7.1 Some currency substitution evidence 192
8.1 Restricted cointegrating vectors for the Japanese yen effective
exchange rate 211
12.1 FIML estimation results 1890/02–1908/12 308