Exchange Rate Economics: Theories and Evidence

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References Abadir,K.M. and G. Talmain (2005),‘Autocorrelations of Series and of their Transforms’, Journal of Econometrics,124,227–52. Abuaf,N. and P. Jorion (1990),‘Purchasing Power Parity in the Long Run’,Journal of Finance,45,157–74. Adler,M. and B. Dumas (1983),‘International Portfolio Choice and Corporate Finance: A Synthesis’, Journal of Finance,48,1887–908. Adler,M. and B. Lehmann (1983),‘Deviations from Purchasing Power Parity in the Long Run’, Journal of Finance,38 (December),1471–87. Admati,A. and P. Pfleiderer (1988),‘A Theory of Intraday Trading Patterns: Volume and Price Variability’, Review of Financial Studies,1,3–40. Agenoir,P.-R.,R. Flood and N. Marion (1992),‘A Survey of Speculative Attack Models’, IMF Staff Papers. Ahking,F.W. (1990),‘Further Results on Long-run Purchasing Power Parity in the 1920s’, European Economic Review,34,913–19. Alberola,E.,S.G. Cervero,J. Lopez,J. Humberto and A. Ubide (1999),‘Global Equilibrium Exchange Rates – Euro,Dollar,“Ins,” “Outs,” and Other Major Currencies in a Panel Cointegration Framework’,IMF Working Papers 99/175,International Monetary Fund. Aliber,R.Z. (1973),‘The Interest Parity Theory: A Reinterpretation’,Journal of Political Economy,81,1451–9. Allen,P.R. and P.B. Kenen (1980),Asset Markets, Exchange Rates, and Economic Integration: A Synthesis (Cambridge: Cambridge University Press). Allen,P.R. and J.L. Stein (1995),Fundamental Determinants of Exchange Rates (Oxford: Oxford University Press). Amihud,Y. and H. Mendelson (1980),‘Dealership Markets: Market-making with Inventory’, Journal of Financial Economics,8,31–53. Anthony,M. and R. MacDonald (1998),‘On the Mean-Reverting Properties of Target Zone Exchange Rates: Some Evidence from the ERM’, European Economic Review, 42,1493–523. Anthony,M. and R. MacDonald (1999),‘The Width of the Band and Exchange Rate Mean Reversion: Some Further ERM-Based Results’, Journal of International Money and Finance, 18,411–28. Argy,V. and P. De Grauwe (eds) (1990),Choosing an Exchange-Rate Regime: The Challenge for Smaller Industrial Countries (Washington: Institute of International Economics). Arnold,I.,C. de Vries and R. MacDonald (2005),‘Fundamental Volatility is Regime Specific’,mimeo,University of Glasgow.
406 References Artis,M. and M. Lewis (1981),Monetary Control in the United Kingdom (Oxford: Philip Allan). Artis,M.J. and D.A. Currie (1981),‘Monetary,Targets and the Exchange Rate: A Case for Conditional Targets’,in W.A. Eltis and P.J.N. Sinclair (eds),The Money Supply and the Exchange Rate (Oxford: Oxford University Press). Artis,M.J. and M. Ehrmann (2000),‘The Exchange Rate: A Shock Absorber or Source of Shocks? A Study of Four Open Economies’,CEPR Discussion Paper No. 2550. Artus,J.R. and J.H. Young (1979),‘Fixed and Flexible Exchange Rates: A Renewal of the Debate’, IMF Staff Papers,26,654–98. Asea,P.K. and W.M. Cordon (1994),‘The Balassa–Samuelson Model: An Overview’, Review of International Economics,2,191–200. Bacchetta,P. and E. van Wincoop (2001),‘Trade Flows,Prices and the Exchange Rate Regime’,in Revisiting the Case for Flexible Exchange Rates,Bank of Canada conference, 213–31. Bacchetta,P. and E. van Wincoop (2002),‘A Theory of the Currency Denomination of International Trade’,NBER Working Paper No. 9039. Bacchetta,P. and E. van Wincoop (2003),‘Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?’,NBER Working Paper No. 9498,National Bureau of Economic Research,Inc. Bacchetta,P. and E. van Wincoop (2004),‘A Scapegoat Model of Exchange Rate Fluctuations’,NBER Working Paper No. 10245. Backus,D. (1984),‘Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff’, Canadian Journal of Economics,17,824–46. Backus,D.,P.J. Kehoe and F.E. Kydland (1992),‘Dynamics of the Trade Balance and the Terms of Trade: The S-curve’,NBER Working Paper No. 4242. Backus,D.,A. Gregory and C. Telmer (1993),‘Accounting for Forward Rates in Markets for Foreign Currency’, Journal of Finance,48,1887–908. Bagehot,W. (1971),‘The Only Game in Town’,Financial Analysts Journal,27 (March/April), 12–17. Baillie,R.T. and T. Bollerslev (1989),‘The Message in Daily Exchange Rates: A Conditional Variance Tale’, Journal of Business and Economic Statistics,7,297–305. Baillie,R.T. and T. Bollerslev (1991),‘Intra-day and Inter-market Volatility in Foreign Exchange Rates’, Review of Economic Studies,58(3),565–85. Baillie,R.T. and T. Bollerslev (1994),‘Cointegation,Fractional Cointegration and Exchange Rate Dynamics’, The Journal of Finance,49,737–45. Baillie,R.T. and D.D. Selover (1987),‘Cointegration and Models of Exchange Rate Determination’, International Journal of Forecasting,3(1),43–51. Balassa,B. (1964),‘The Purchasing Power Parity Doctrine: A Reappraisal’,Journal of Political Economy,72,584–96. Banerjee,A.V. (1992),‘A Simple Model of Herd Behaviour’,The Quarterly Journal of Economics, 107(3),798–817. Banerjee,A.,J. Dolado,J. Galbraith and D. Hendry (1986),‘Exploring Equilibrium Relationships in Econometrics Through Static Models: Some Monte Carlo Evidence’, Oxford Bulletin of Economics and Statistics,48 (August 1986),253–77. Banerjee,A.,J. Dolado,J. Galbraith and D. Hendry (1993),Co-Integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (Oxford: Oxford University Press). Bank for International Settlements (2001),Triennial Survey,Basle: BIS. Bansal,R. and M. Dahlquist (2000),‘The Forward Premium Puzzle: Different Tales from Developed and Emerging Markets’, Journal of Monetary Economics,51,115–44.
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Exchange Rate Economics Exchange Ra
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Firstpublished2007 by Routledge 2Pa
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Contents List of figures List of ta
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Figures 1.1 The balance of payments
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Figures 13.6 Fourth generation spec
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Preface This book is the second edi
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2 Introduction Although the textboo
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4 Introduction (orders to buy/sell
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6 Introduction Table 1.3 Currency d
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8 Introduction a truly flexible exc
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10 Introduction this has to be sati
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12 Introduction likely that the rel
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14 Introduction or F (1 + i) = S (1
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16 Introduction Consider now a fall
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18 Introduction The empirical evide
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20 Introduction (mean and variance)
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22 Introduction (a) (b) 0.3 0.25 0.
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24 Introduction clusters or that it
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26 Introduction 0.1 0.05 0 -0.05 -0
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28 Introduction 1.9 Exchange rate r
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30 Introduction fixed versus flexib
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32 Introduction influences. For exa
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34 Introduction 1.11 The determinan
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36 Introduction In the standard OCA
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38 Introduction most transactions i
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40 Purchasing power parity and the
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3 The economics of the PPP puzzle I
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70 The economics of the PPP puzzle
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4 The flexible price monetary appro
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96 The flexible price monetary appr
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98 The flexible price monetary appr
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100 The flexible price monetary app
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5 The sticky-price monetary model I
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108 The sticky-price monetary model
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6 The monetaryapproach to the excha
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136 Empirical evidence on the monet
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Table 6.5 SEM equations: United Kin
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7 Currencysubstitution models and t
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168 Currency substitution and portf
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200 Real exchange rate determinatio
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228 Equilibrium exchange rates rate
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230 Equilibrium exchange rates A nu
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232 Equilibrium exchange rates long
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234 Equilibrium exchange rates 5.1
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236 Equilibrium exchange rates term
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238 Equilibrium exchange rates 0.30
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240 Equilibrium exchange rates Detk
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242 Equilibrium exchange rates US i
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244 Equilibrium exchange rates The
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246 Equilibrium exchange rates 9.6.
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248 Equilibrium exchange rates 9.6.
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250 Equilibrium exchange rates Conc
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252 The new open economy macroecono
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11 The new open economy macroeconom
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290 Target zone models 12.1 The bas
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292 Target zone models stochastic c
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294 Target zone models moves from 2
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296 Target zone models where A 1 an
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298 Target zone models expected dev
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300 Target zone models % expected d
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302 Target zone models MacDonald (2
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304 Target zone models for the DM-l
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306 Target zone models explicit ban
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308 Target zone models Table 12.1 F
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310 Target zone models short-term i
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312 Target zone models the UK short
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314 Speculative attack models and c
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340 Market microstructure approach
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Page 369 and 370: 354 Market microstructure approach
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Page 423 and 424: 408 References Bergin,P.,R. Glick a
Page 425 and 426: 410 References Calvo,G.A. and C.A.
Page 427 and 428: 412 References Clark,P.B. and R. Ma
Page 429 and 430: 414 References Detken,C.,A. Dieppe,
Page 431 and 432: 416 References Edwards,S. and I. Ma
Page 433 and 434: 418 References Fischer,S. (2001),
Page 435 and 436: 420 References Frieden,J.P.G. and E
Page 437 and 438: 422 References Granger,C.W. and T.
Page 439 and 440: 424 References Hooper,P. and J. Mor
Page 441 and 442: 426 References Kearney,C. and R. Ma
Page 443 and 444: 428 References Lewis,K. (1988),‘T
Page 445 and 446: 430 References MacDonald,R. (2002),
Page 447 and 448: 432 References Mark,N.C. (2001),Int
Page 449 and 450: 434 References Obstfeld,M. and K. R
Page 451 and 452: 436 References Roll,R. (1979),‘Vi
Page 453 and 454: 438 References Tauchen,G.E. and M.
Page 455 and 456: Index Abadir,K. 389 Abuaf,N. 60 Adl
Page 457 and 458: 442 Index Diba,B. 177-8 Dickey,D.A.
Page 459 and 460: 444 Index Gagnon,J. 212 Gali,J. 128
Page 461 and 462: 446 Index Miller,M.H. 120,123,128,1
Page 463 and 464: 448 Index purchasing power parity (
Page 465: 450 Index trade: interbank trade 34
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