Exchange Rate Economics: Theories and Evidence

More documents

Recommendations

Info

References 415 Dornbusch,R. (1987),‘Exchange Rates and Prices’,American Economic Review,77,93–106. Dornbusch,R. (2001),‘Fewer Monies,Better Monies’,NBER Working Paper No. 8324. Dornbusch,R. and S. Fischer (1980),‘Exchange Rates and the Current Account’,American Economic Review,70,960–71. Dornbusch,R. and P. Krugman (1978),‘Flexible Exchange Rates in the Short Run’, Brookings Papers on Economic Activity,3,357–84. Drazen,A. (1999),‘Political Contagion in Currency Crises’,NBER Working Paper No. 7211,National Bureau of Economic Research. Driskell,R.A. (1981),‘Exchange Rate Dynamics: An Empirical Investigation’,Journal of Political Economy,89(2),357–71. Driskell,R.A. and S.M. Sheffrin (1981),‘On the Mark: Comment’,American Economic Review, 71,1068. Driver,R. (2000),‘Evaluating Alternative Exchange Rate Regimes’,mimeo,Bank of England. Driver,R. and S. Wren-Lewis (1998),‘Real Exchange Rates for the Year 2000’ (mimeo, Washington,DC: Institute for International Economics). Driver,R. and S. Wren-Lewis (1999),‘FEERs: A Sensitivity Analysis’,in R. MacDonald and J. Stein (eds), Equilibrium Exchange Rates (Boston,MA: Kluwer). Duarte,M. (2003),‘Why Don’t Macroeconomic Quantities Respond to Exchange Rate Variability?’, Journal of Monetary Economics,50,889–913. Duarte,M. and A.C. Stockman (2005),‘Rational Speculation and Exchange Rates’,Journal of Monetary Economics,52,3–29. Dumas,B. (1988),‘Pricing Physical Assets Internationally’,NBER Working Paper No. 2569. Dumas,B. (1992),‘Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World’, Review of Financial Studies,5,153–80. Easley,D. and M. O’Hara (1992),‘Time and the Process of Security Price Adjustment’, Journal of Finance,American Finance Association,19,64–90. Eastwood,R.K. and A.J. Venables (1982),‘The Macroeconomic Implications of a Resource Discovery in an Open Economy’, The Economic Journal,92,285–99. Edison,H.J. (1985),‘Purchasing Power Parity: A Quantitative Reassessment of the 1920s Experience’, Journal of International Money and Finance,4 (September),361–72. Edison,H.J. (1987),‘Purchasing Power Parity in the Long Run: A Test of the Dollar/Pound Exchange Rate (1890–1978)’, Journal of Money, Credit and Banking,19 (August),376–87. Edison,H.J. and B. Diane Pauls (1993),‘A Re-assessment of the Relationship between Real Exchange Rates and Real Interest Rates: 1974–90’, Journal of Monetary Economics, 31 (April),165–87. Edison,H.J. and R. MacDonald (2003),‘Credibility and Interest Rate Discretion in the ERM’, Open Economies Review,14,351–68. Edison,H.J. and W.R. Melick (1995),‘Alternative Approaches to Real Exchange Rates and Real Interest Rates: Three Up and Three Down’,Board of Governors of the Federal Reserve System,International Finance Papers No. 518. Edison,H.J.,P. Luangaram and M. Miller (1998),‘Asset Bubbles,Domino Effects and “Lifeboats”: Elements of the East Asian Crisis’,CEPR Discussion Paper No. 1866. Edwards,S. (1982),‘Exchange Rates,Market Efficiency and New Information’,Economics Letters,9,377–82. Edwards,S. (1983),‘Exchange Rates and “News”: A Multi-currency Approach’,Journal of International Money and Finance,3,211–24. Edwards,S. (1989),Real Exchange Rates, Devaluation, and Adjustment (Cambridge,MA: MIT Press).
416 References Edwards,S. and I. Magendzo (2003),‘A Currency of One’s Own? An Empirical Investigation on Dollarization and Independent Currency Unions’,NBER Working Paper No. 9514. Edwards,S. and E. Yeyati (2003),‘Flexible Exchange Rates as Shock Absorbers’,NBER Working Paper No. 9867. Egert,B.,L. Halpern and R. MacDonald (2005),‘Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues’,CEPR Working Paper No. 4809. Journal of Economic Surveys,20,257–324. Eichenbaum,M. and C.L. Evans (1995),‘Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates’, Quarterly Journal of Economics,101, 975–1009. Eichengreen,B.,A. Rose and C. Wyplosz (1995),‘Exchange Market Mayhem: The Antecedants and Aftermath of Speculative Attacks’, Economic Policy,21,249–312. Elbadawi,I. (1994),‘Estimating Long-Run Equilibrium Real Exchange Rates’,in J. Williamson (ed.), Fundamental Equilibrium Exchange Rates (Washington,DC: International Economics Institute). El-Gamal,M.A. and D. Ryu (2006),‘Short Memory and the PPP Hypothesis’,Journal of Economic Dynamics and Control,30,361–91. Enders,W. (1988),‘ARIMA and Cointegration Tests of PPP under Fixed and Flexible Exchange Rate Regimes’, Review of Economics and Statistics (August 1988),504–08. Engel,C. (1993),‘Real Exchange Rates and Relative Prices: An Empirical Investigation’, Journal of Monetary Economics,32,35–50. Engel,C. (1994),‘Tests of CAPM on an International Portfolio of Bonds and Stocks’,in J. Frankel (ed.), The Internationalisation of Equity Markets (Chicago,IL: University of Chicago Press). Engel,C. (1996a),‘Long-run PPP may not Hold after all’,National Bureau of Economics, Working Paper No. 5646. Engel,C. (1996b),‘The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence’, Journal of Empirical Finance,3,123–92. Engel,C. (1999),‘Accounting for US Real Exchange Rate Changes’,Journal of Political Economy,107,507–38. Engel,C. (2000a),‘Long-run PPP may not Hold after all’,Journal of International Economics, 57,243–73. Engel,C. (2000b),‘Local Currency Pricing and the Choice of Exchange Rate Regime’, European Economic Review,44,1449–72. Engel,C. and J. Frankel (1984),‘Why Interest Rates React to Money Supply Announcements: An Explanation from the Foreign Exchange Market’, Journal of Money Credit and Banking,17,321–7. Engel,C. and A.P. Rodriguez (1989),‘Tests of International CAPM with Time Varying Covariances’, Journal of Applied Econometrics,4,119–38. Engel,C. and A.P. Rodriguez (1993),‘Tests of Mean Variance Efficiency of International Equity Markets’, Oxford Economic Papers,45,403–21. Engel,C. and J.H. Rogers (1996),‘How Wide is the Border?’,American Economic Review, 86,1112–25. Engel,C. and K.D. West (2004),‘Accounting for Exchange Rate Variability in Present Value Models when the Discount Factor is Nearer One’,NBER Working Paper No. 10267. Engel,C.,M.K. Hendrickson and J.H. Rogers (1997),‘Intranational,Intracontinental,and Intraplanetary PPP’, Journal of the Japanese and International Economies,11,480–501.
Page 2:
Exchange Rate Economics Exchange Ra
Page 5 and 6:
Firstpublished2007 by Routledge 2Pa
Page 8 and 9:
Contents List of figures List of ta
Page 10 and 11:
Figures 1.1 The balance of payments
Page 12 and 13:
Figures 13.6 Fourth generation spec
Page 14:
Preface This book is the second edi
Page 17 and 18:
2 Introduction Although the textboo
Page 19 and 20:
4 Introduction (orders to buy/sell
Page 21 and 22:
6 Introduction Table 1.3 Currency d
Page 23 and 24:
8 Introduction a truly flexible exc
Page 25 and 26:
10 Introduction this has to be sati
Page 27 and 28:
12 Introduction likely that the rel
Page 29 and 30:
14 Introduction or F (1 + i) = S (1
Page 31 and 32:
16 Introduction Consider now a fall
Page 33 and 34:
18 Introduction The empirical evide
Page 35 and 36:
20 Introduction (mean and variance)
Page 37 and 38:
22 Introduction (a) (b) 0.3 0.25 0.
Page 39 and 40:
24 Introduction clusters or that it
Page 41 and 42:
26 Introduction 0.1 0.05 0 -0.05 -0
Page 43 and 44:
28 Introduction 1.9 Exchange rate r
Page 45 and 46:
30 Introduction fixed versus flexib
Page 47 and 48:
32 Introduction influences. For exa
Page 49 and 50:
34 Introduction 1.11 The determinan
Page 51 and 52:
36 Introduction In the standard OCA
Page 53 and 54:
38 Introduction most transactions i
Page 55 and 56:
40 Purchasing power parity and the
Page 57 and 58:
Page 59 and 60:
Page 61 and 62:
Page 63 and 64:
Page 65 and 66:
Page 67 and 68:
Page 69 and 70:
Page 71 and 72:
Page 73 and 74:
Page 75 and 76:
Page 77 and 78:
Page 79 and 80:
Page 81 and 82:
Page 83 and 84:
3 The economics of the PPP puzzle I
Page 85 and 86:
70 The economics of the PPP puzzle
Page 87 and 88:
Page 89 and 90:
Page 91 and 92:
Page 93 and 94:
Page 95 and 96:
Page 97 and 98:
Page 99 and 100:
Page 101 and 102:
Page 103 and 104:
Page 105 and 106:
Page 107 and 108:
Page 109 and 110:
4 The flexible price monetary appro
Page 111 and 112:
96 The flexible price monetary appr
Page 113 and 114:
98 The flexible price monetary appr
Page 115 and 116:
100 The flexible price monetary app
Page 117 and 118:
Page 119 and 120:
Page 121 and 122:
5 The sticky-price monetary model I
Page 123 and 124:
108 The sticky-price monetary model
Page 125 and 126:
Page 127 and 128:
Page 129 and 130:
Page 131 and 132:
Page 133 and 134:
Page 135 and 136:
Page 137 and 138:
Page 139 and 140:
Page 141 and 142:
Page 143 and 144:
Page 145 and 146:
Page 147 and 148:
Page 149 and 150:
6 The monetaryapproach to the excha
Page 151 and 152:
136 Empirical evidence on the monet
Page 153 and 154:
Page 155 and 156:
Page 157 and 158:
Page 159 and 160:
Page 161 and 162:
Page 163 and 164:
Page 165 and 166:
Page 167 and 168:
Page 169 and 170:
Table 6.5 SEM equations: United Kin
Page 171 and 172:
Page 173 and 174:
Page 175 and 176:
Page 177 and 178:
Page 179 and 180:
Page 181 and 182:
7 Currencysubstitution models and t
Page 183 and 184:
168 Currency substitution and portf
Page 185 and 186:
Page 187 and 188:
Page 189 and 190:
Page 191 and 192:
Page 193 and 194:
Page 195 and 196:
Page 197 and 198:
Page 199 and 200:
Page 201 and 202:
Page 203 and 204:
Page 205 and 206:
Page 207 and 208:
Page 209 and 210:
Page 211 and 212:
Page 213 and 214:
Page 215 and 216:
200 Real exchange rate determinatio
Page 217 and 218:
Page 219 and 220:
Page 221 and 222:
Page 223 and 224:
Page 225 and 226:
Page 227 and 228:
Page 229 and 230:
Page 231 and 232:
Page 233 and 234:
Page 235 and 236:
Page 237 and 238:
Page 239 and 240:
Page 241 and 242:
Page 243 and 244:
228 Equilibrium exchange rates rate
Page 245 and 246:
230 Equilibrium exchange rates A nu
Page 247 and 248:
232 Equilibrium exchange rates long
Page 249 and 250:
234 Equilibrium exchange rates 5.1
Page 251 and 252:
236 Equilibrium exchange rates term
Page 253 and 254:
238 Equilibrium exchange rates 0.30
Page 255 and 256:
240 Equilibrium exchange rates Detk
Page 257 and 258:
242 Equilibrium exchange rates US i
Page 259 and 260:
244 Equilibrium exchange rates The
Page 261 and 262:
246 Equilibrium exchange rates 9.6.
Page 263 and 264:
248 Equilibrium exchange rates 9.6.
Page 265 and 266:
250 Equilibrium exchange rates Conc
Page 267 and 268:
252 The new open economy macroecono
Page 269 and 270:
Page 271 and 272:
Page 273 and 274:
Page 275 and 276:
Page 277 and 278:
Page 279 and 280:
Page 281 and 282:
Page 283 and 284:
Page 285 and 286:
Page 287 and 288:
Page 289 and 290:
11 The new open economy macroeconom
Page 291 and 292:
Page 293 and 294:
Page 295 and 296:
Page 297 and 298:
Page 299 and 300:
Page 301 and 302:
Page 303 and 304:
Page 305 and 306:
290 Target zone models 12.1 The bas
Page 307 and 308:
292 Target zone models stochastic c
Page 309 and 310:
294 Target zone models moves from 2
Page 311 and 312:
296 Target zone models where A 1 an
Page 313 and 314:
298 Target zone models expected dev
Page 315 and 316:
300 Target zone models % expected d
Page 317 and 318:
302 Target zone models MacDonald (2
Page 319 and 320:
304 Target zone models for the DM-l
Page 321 and 322:
306 Target zone models explicit ban
Page 323 and 324:
308 Target zone models Table 12.1 F
Page 325 and 326:
310 Target zone models short-term i
Page 327 and 328:
312 Target zone models the UK short
Page 329 and 330:
314 Speculative attack models and c
Page 331 and 332:
Page 333 and 334:
Page 335 and 336:
Page 337 and 338:
Page 339 and 340:
Page 341 and 342:
Page 343 and 344:
Page 345 and 346:
Page 347 and 348:
Page 349 and 350:
Page 351 and 352:
Page 353 and 354:
Page 355 and 356:
340 Market microstructure approach
Page 357 and 358:
Page 359 and 360:
Page 361 and 362:
Page 363 and 364:
Page 365 and 366:
Page 367 and 368:
Page 369 and 370:
Page 371 and 372:
Page 373 and 374:
Page 375 and 376:
Page 377 and 378:
Page 379 and 380: 364 Market microstructure approach
Page 385 and 386: 15 Spot and forward exchange rates
Page 411 and 412: Notes 1 Introduction: some basic co
Page 413 and 414: 398 Notes 4 Although the split betw
Page 415 and 416: 400 Notes 3 The fact that the utili
Page 417 and 418: 402 Notes 15 This result is familia
Page 419 and 420: 404 Notes 6 Where ∫ ∞ vg(v) E(v
Page 421 and 422: 406 References Artis,M. and M. Lewi
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: 414 References Detken,C.,A. Dieppe,
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
show all

Exchange Rate Economics: Theories and Evidence

Create successful ePaper yourself

Delete template?

Save as template?