Exchange Rate Economics: Theories and Evidence

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References 407 Barnea,A. and D.E Logue (1975),‘The Effect of Risk on the Market-maker’s Spread’, Financial Analysts Journal,31 (November/December),45–9. Barr,D. (1984),‘Exchange Rate Dynamics: An Empirical Analysis’,LSE Discussion Paper No. 200. Barrell,R. and S. Wren-Lewis (1989),‘Fundamental Equilibrium Exchange Rates for the G7’,CEPR Discussion Paper No. 323. Barrell,R.,P. Soteri,P. Westaway and S. Wren-Lewis (1991),‘Evaluating the UK’s Choice of Entry Rate into the ERM’, Manchester School of Economics and Social Studies,Supplement, 1–22. Barrios,S.,M. Brulhart,R.J.R Elliott and M. Sensier (2001),‘A Tale of Two Cylces: Cofluctuations Between UK Regions and the Euro Zone’,Corresponding author Marius.Brulhart@hec.unil.ch Baxter,M. (1994),‘Real Exchange Rates and Real Interest Rate Differentials: Have we Missed the Business Cycle Relationship?’, Journal of Monetary Economics,33,5–37. Baxter,M. and A. Stockman (1989),‘Business Cycles and the Exchange-rate System’, Journal of Monetary Economics,23,377–400. Bayoumi,T. and B. Eichengreen (1992),‘Shocking Aspects of European Monetary Integration’,CEPR Working Paper,643. Bayoumi,T. and R. MacDonald (1998),‘Deviations of Exchange Rates from Purchasing Power Parity: A Story Featuring Two Monetary Unions’,IMF Working Paper No. 98/69 (Washington: International Monetary Fund,March 1998),IMF Staff Papers,1999. Bayoumi,T.,P. Clark,S. Symansky and M. Taylor (1994),‘The Robustness of Equilibrium Exchange Rate Calculations to Alternative Assumptions and Methodologies’, in J. Williamson (ed.), Estimating Equilibrium Exchange Rates,Washington: Institute of International Economics. Bayoumi,T.,G. Fazio,M. Kumar and R. MacDonald (2003),‘Fatal Attraction: Measuring Contagion in Good times and Bad’,IMF working Paper No. 03/80. Bec,F.,M. Ben-Salem and R. MacDonald (2006),‘Real Exchange Rates and Real Interest Rates: A Nonlinear Perspective’, Rescherches Economiques de Louvain, 72,177–94. Beetsma,R.M. and F. van der Ploeg (1994),‘ Intramarginal Interventions,Bands and the Pattern of EMS Exchange Rate Distributions’, International Economic Review,17,339–53. Bekaert,G. and R.J. Hodrick (1992),‘Characterising Predictable Components in Excess Returns on Equity and Foreign Exchange Markets’, Journal of Finance,47,467–510. Benassy,A. and H. Raymond (1994),‘The Heterogeneity of Exchange Rate Expectations According to Survey Data’,Thema Working Paper 9418. Benassy-Quere,A.,S. Larribeau and R. MacDonald (2003),‘Models of Exchange Rate Expectations: How Much Heterogeneity?’, Journal of International Financial Markets, Institutions and Money,13,113–36. Benigno,G. and C. Theonissen (2003),‘Equilibrium Exchange Rates and Supply-side Performance’, The Economic Journal,113,C103–C124. Bensaid,B. and O. Jeanne (2000),‘Self Fulfilling Currency,Crises and Central Bank Independence’, Scandinavian Journal of Economics,102(4),605–20. Bergin,P. (2000),‘One Money One Price? Pricing to Market in a Monetary Union’ (available from www.econ.ucdavis.edu/faculty/bergin/research/index.html). Bergin,P.R. (2004),‘How Well can the New Open Economy Macroeconomics Explain the Current Account?’ NBER Working Paper No. 10356. Bergin,P.R. and R.C. Feenstra (2000),‘Pricing-to-Market,Staggered Contracts,and Real Exchange Rate Persistence’ (available from www.econ.ucdavis.edu/faculty/bergin/ research/index.html).
408 References Bergin,P.,R. Glick and A.M. Taylor (2004),‘Productivity,Tradability and the Long-run Price Puzzle’,NBER Working Paper No. 10569. Bergstrand,J.H. (1991),‘Structural Determinants of Real Exchange Rates and National Price Levels: Some Empirical Evidence’, American Economic Review (March),325–34. Bertola,G. and R.J. Cabellero (1992),‘Target Zones and Realignments’,American Economic Review,82,520–36. Bertola,G. and L.E.O. Svensson (1993),‘Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models’, Review of Economic Studies,60(3),689–712. Bessembinder,H. (1994),‘Bid–Ask Spreads in the Interbank Foreign Exchange Markets’, Journal of Financial Economics,35,317–48. Betts,C. and M. Devereux (1996),‘The Exchange Rate in a Model of Pricing to Market’, European Economic Review,40,1007–21. Betts,C. and M. Devereux (2000),‘Exchange Rate Dynamics in a Model of Pricing to Market’, Journal of International Economics,50,215–44. Beveridge,S. and C.R. Nelson (1981),‘A New Approach to the Decomposition of Economic Time Series into Permanent and Transitory Components,with Particular Attention to the Measurement of Business Cycles’, Journal of Monetary Economics,7,151–74. Bikhchandani,S.,D. Hirshleifer and I. Welch (1992),‘A Theory of Fads,Fashion, Custom,and Cultural Change as Informational Cascades’,Journal of Political Economy, 100,992–1026. Bilson,J.F.O. (1978a),‘Rational Expectations and the Exchange Rate’,in Jacob A. Frenkel and Harry G. Johnson (eds), The Economics of Exchange Rates: Selected Studies (Reading,MA: Addison-Wesley),75–96. Bilson,J.F.O. (1978b),‘The Monetary Approach to the Exchange Rate – Some Empirical Evidence’, IMF Staff Papers,25,201–23. Black and Salemi (1988),‘FIML Estimation of the Dollar Deutschemark Risk Premium in a Portfolio Balance Model’, Journal of International Money and Finance,25,250–70. Blanchard,O. (1981),‘Output,the Stock Market and Interest Rates’,American Economic Review,71,132–43. Blanchard,O. (1984),‘Current and Anticipated Deficits,Interest Rates and Economic Activity’, European Economic Review,25,7–27. Blanchard,O. and R. Dornbusch (1984),‘US Deficits,the Dollar and Europe’,Banca Nationale Del Lavoro,25,89–113. Blanchard,O. and D. Quah (1989),‘The Dynamic Effects of Aggregate Demand and Supply Disturbances’, American Economic Review,79,655–73. Blanco,H. and P. Garber (1986),‘Recurrent Devaluation and Speculative Attacks on the Mexican Peso’, Journal of Political Economy, 94,148–66. Blough,S.R. (1992),‘The Relationship Between Power and Level for Generic Unit Root Tests in Finite Samples’, Journal of Applied Econometrics,7,295–308. Blundell-Wignall,A. and F. Browne (1991),‘Increasing Financial Market Integration: Real Exchange Rates and Macroeconomic Adjustment’,OECD Working Paper No. 65. Bollerslev,T. (1986),‘Generalised Autoregressive Conditional Heteroskedasticity’,Journal of Econometrics,31,307–27. Bollerslev,T. and I. Domowitz (1993),‘Trading Patterns and Prices in the Interbank Foreign Exchange Market’, Journal of Finance,48(5),511–21. Bollerslev,T. and M. Melvin (1994),‘Bid–Ask Spreads and Volatility in the Foreign Exchange Market: An Empirical Analysis’, Journal of International Economics,36(3–4), 355–72. Bollerslev,T.,R.Y. Chou and K.F. Kroner (1992),‘ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence’, Journal of Econometrics,52,5–59.
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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 371 and 372: 356 Market microstructure approach
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Page 411 and 412: Notes 1 Introduction: some basic co
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Page 421: 406 References Artis,M. and M. Lewi
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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Exchange Rate Economics: Theories and Evidence

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