Exchange Rate Economics: Theories and Evidence

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References 409 Bomhoff,E.S. and P. Korteweg (1983),‘Exchange Rate Variability and Monetary Policy under Rational Expectations’, Journal of Monetary Economics,11,169–206. Boothe,P. (1988),‘Exchange Rate Risk and the Bid–Ask Spread: A Seven Country Comparison’, Economic Inquiry,26(3),485–92. Boothe,P. and D. Glassman (1987),‘The Statistical Distribution of Exchange Rates: Empirical Evidence and Economic Implications’, Journal of International Economics,22, 297–319. Bordo,M.D. and R. MacDonald (2003),‘The Inter-War Gold Exchange Standard: Credibility and Monetary Independence’, Journal of International Money and Finance,22,1–32. Bordo,M.D. and R. MacDonald (2005),‘Violations of the “Rules of the Game” and the Credibility of the Classical Gold Standard,1880–1914’,NBER Working Paper No. 6115, and Journal of Monetary Economics,52,307–27. Branson,W.H. (1969),‘The Minimum Covered Interest Differential Needed for International Arbitrage Activity’, Journal of Political Economy,77,1028–35. Branson,W.H. (1977),‘Asset Markets and Relative Prices in Exchange Rate Determination’, Sozialwissenschaftliche Annalen,Band 1. Branson,W.H. (1983),‘Macroeconomic Determinants of Real Exchange Risk’,in R.J. Herring (ed.), Managing Foreign Exchange Risk (Cambridge: Cambridge University Press),33–74. Branson,W.H. and W. Buiter (1983),‘Monetary and Fiscal Policy with Flexible Exchange Rates’,in J.S. Bhandari and B.H. Putnam (eds),Economic Interdependence and Flexible Exchange Rates (Cambridge: MIT press),251–85. Branson,W.H.,H. Haltunen and P. Masson (1977),‘Exchange Rates in the Short Run’, European Economic Review,10,395–402. Breuer,J.B. (1994),‘An Assessment of the Evidence on Purchasing Power Parity’,in John Williamson (ed.), Estimating Equilibrium Exchange Rates (Washington,DC: Institute for International Economics),245–77. Brigden,A.,B. Martin and C. Salmon (1997),‘Decomposing Exchange Rate Movements According to the Uncovered Interest Parity Condition’, Bank of England Quarterly Bulletin, November,377–89. Buiter,W.H. (2000),‘Optimal Currency Areas: Why Does the Exchange Rate Regime Matter’, Scottish Journal of Political Economy,47,213–50. Buiter,W.H. and M.H. Miller (1981a),‘Monetary Policy and International Competitiveness: The Problem of Adjustment’, Oxford Economic Papers,33,143–75. Buiter,W.H. and M.H. Miller (1981b),‘Real Exchange Rate Overshooting and the Output Cost of Bringing Down Inflation’,Discussion Paper No. 204,Department of Economics, University of Warwick. Buiter,W.H. and D.D. Purvis (1983),‘Oil Disinflation and Export Competitiveness: A Model of the “Dutch Disease”’,in J. Bandari and B.H. Putnam (eds),Economic Interdependence and Flexible Exchange Rates (Cambridge,MA: MIT Press). Burnam,J.B. (1991),‘Current Structure and Recent Developments in Foreign Exchange Markets’,in S.J. Khoury (ed.),Recent Developments in International Banking and Finance Vol. IV, (Amsterdam: Elsevier),123–53. Burstein,A.T.,J.C. Neves and S. Rebelo (2000),‘Distribution Costs and Real Exchange Rate Dynamics During Exchange-rate-based-stabilizations’,mimeo,Northwestern University. Caballero,R. and A. Krishnamurthy (2000),‘Dollarization of Liabilities: Underinsurance and Domestic Financial Underdevelopment’,NBER Working Paper No. 7792. Calvo,G. and C. Reinhart (2002),‘Fear of Floating’,The Quarterly Journal of Economics,117(2), 379–408.
410 References Calvo,G.A. and C.A. Rodriguez (1977),‘A Model of Exchange Rate Determination under Currency Substitution and Rational Expectations’, Journal of Political Economy,85,3, 261–78. Calvo,G. and C. Vegh (1992),‘Currency Substitution in Developing Countries – An Introduction’,IMF Working Paper No. 92/40. Campa,J.M. and L.S. Goldberg (2002),‘Exchange Rate Pass Through into Import Prices: A Macro or Micro Phenomenon’,NBER Working Paper No. 8943. Campbell,J.Y. and R.H. Clarida (1987a),‘The Dollar and Real Interest Rates’, Carnegie-Rochester Conference Series on Public Policy,27 (Autumn),103–40. Campbell,J.Y. and R.H. Clarida (1987b),‘The Term Structure of Euromarket Interest Rates: An Empirical Investigation’, Journal of Monetary Economics,19,25–44. Campbell,J.Y. and P. Perron (1991),‘Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots’,in Olivier Jean Blanchard and Stanley Fisher (eds), NBER Economics Annual 1991 (Cambridge: MIT Press). Campbell,J.Y. and R.J. Shiller (1987),‘Cointegration and Tests of Present Value Models’, Journal of Political Economy,95,1062–88. Canzoneri,M.B. and B. Diba (1993),‘Currency Substitution and Exchange Rate Volatility’, Journal of International Economics,35,351–65. Canzoneri,M.B.,R.E. Cumby and B. Diba (1996),‘Relative Labour Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries’, Journal of International Economics,47,245–66. Cao,H.H.,R.K. Lyons and M.D.D. Evans (2003),‘Inventory Information’,NBER Working Paper No. 9893,National Bureau of Economic Research,Inc. Caplin,A. and J. Leahy (1994),‘Business as Usual,Market Crashes,and Wisdom After the Fact’, American Economic Review,84,548–65. Caramazza,F. (1993),‘French–German Interest Rate Differentials and Time-varying Realignment Risk’, IMF Staff Papers,40(3) (September),567–83. Cashin,P. and J.M.C. Dermott (2003),‘An Unbiased Appraisal of Purchasing Power Parity’, IMF Staff Papers,50(3),1–25. Cassel,G. (1928),Foreign Investments, Lectures of the Harris Foundation,University of Chicago Press. Cavaglia,S.,W.F.C. Verschoor and C.C.P. Wolff (1993a),‘Further Evidence on Exchange Rate Expectations’, Journal of International Money and Finance,27,78–98. Cavaglia,S.,W.F.C. Verschoor and C.C.P. Wolff (1993b),‘On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?’, Journal of Business,67, 321–43. Cerra,V. and S.C. Saxena (2000),‘Contagion,Monsoons,and Domestic Turmoil in Indonesia: A Case Study in the Asian Currency Crisis’,IMF Working Paper No. 60. Chadha,B. and E. Prasad (1997),‘Real Exchange Rate Fluctuations and the Business Cycle’, International Monetary Fund, Staff Papers,44(3),328–55. Chang,R. and A. Velasco (1998a),‘The Asian Liquidity Crisis’,NBER Working Paper No. 6606 Chang,R. and A. Velasco (1998b) ‘Financial Crises in Emerging Markets: A Canonical Model’,NBER Working Paper No. 6606. Chan-Lau,J.A.,D. Mathieson and J.Y. Yao (2002),‘Extreme Contagion in Equity Markets’,IMF Working Paper No. 98. Chari,V.V. and P.J. Kehoe (2003),‘Financial Crises as Herds: Overturning the Critiques’, NBER Working Paper No. 9658,National Bureau of Economic Research,Inc.
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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 373 and 374: 358 Market microstructure approach
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Page 411 and 412: Notes 1 Introduction: some basic co
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Page 421 and 422: 406 References Artis,M. and M. Lewi
Page 423: 408 References Bergin,P.,R. Glick 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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