Exchange Rate Economics: Theories and Evidence

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References 417 Engle,R.F. (1982),‘Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation’, Econometrica,50,987–1008. Engle,R.F. and C.W.J. Granger (1987),‘Co-integration and Error Correction: Representation,Estimation,and Testing’,Econometrica,55(March),251–76. Engle,R.F.,T. Ito and W.-L. Lin (1990),‘ Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market’, Econometrica,Econometric Society,58(3),525–42. Epps,T.W. and M.L. Epps (1976),‘The Stochastic Dependence of Security Price Changes and Transaction Volume: Implications for the Mixture-of-Distributions Hypothesis’, Econometrica,44,305–21. Ethier,W. (1973),‘International Trade and the Forward Exchange Market’,American Economic Review,63,494–503. Evans,G. (1989),‘A Measure of the U.S. Output Gap’,Economics Letters,29,285–89. Evans,G. and K. Lewis (1995),‘Do Long-term Swings in the Dollar Affect Estimates of the Risk Premium?’, Review of Financial Studies,8,122–31. Evans,M.D.D. and R.K. Lyons (2001),‘Portfolio Balance,Price Impact,and Secret Intervention’,NBER Working Paper No. 8356,National Bureau of Economic Research,Inc. Evans,M.D.D. and R.K. Lyons (2002),‘Order Flow and Exchange Rate Dynamics’,Journal of Political Economy,110,170–80. Evans,M.D.D. and R.K. Lyons (2003),‘How is Macro News Transmitted to Exchange Rates?’,NBER Working Paper No. 9433,National Bureau of Economic Research,Inc. Evans,M.D.D. and R.K. Lyons (2004),‘A New Micro Model of Exchange Rate Dynamics’, NBER Working Paper No. 10379,National Bureau of Economic Research,Inc. Fama,E.F. (1970),‘Efficient Capital Markets: A Review of Theory and Empirical Work’, Journal of Finance,25,383–417. Fama,E.F. (1984),‘Forward and Spot Exchange Rates’,Journal of Monetary Economics,14, 319–28. Fama,E.F. (1990),‘Stock Returns,Expected Returns,and Real Activity’,Journal of Finance, 45(4),1089–108. Fama,E.F. and K.R. French (1988),‘Permanent and Temporary Components of Stock Prices’, Journal of Political Economy,96 (April),246–73. Faruqee,H. (1995),‘Long-run Determinants of the Real Exchange Rate: A Stock-flow Perspective’, Staff Papers, International Monetary Fund,42 (March),80–107. Faruqee,H.,P. Isard and P.R. Masson (1999),‘A Macroeconomic Balance Framework for Estimating Equilibrium Exchange Rates’,in R. MacDonald and J. Stein (eds),Equilibrium Exchange Rates,chapter 4 (Boston,MA: Kluwer). Feenstra,R.C. and J.D. Kendall (1997),‘Pass-through of Exchange Rates and Purchasing Power Parity’, Journal of International Economics,43,237–61. Feige,E.L. (2003),‘The Dynamics of Currency Substitution,Asset Substitution and de facto Dollarization and Euroization in Transition Countries’, Comparative Economic Studies,45,358–83. Feige,E.L. and J. Dean (2002),‘Dollarization and Euroization in Transition Countries: Currency Substitution,Asset Substitution,Network Externalities and Irreversibility’,mimeo, University of Wisconsin-Madison. Fieleke,N.S. (1975),‘Exchange-rate Flexibility and the Efficiency of the Foreign-exchange Markets’, Journal of Financial and Quantitative Analysis,10(3) (September),409–28. Fischer,A.M. (1989),‘Unit Roots and Survey Data’,Oxford Bulletin of Economics and Statistics, 51,451–63.
418 References Fischer,S. (2001),‘Distinguished Lecture on Economics in Government-exchange Rate Regimes: Is the Bipolar View Correct?’, The Journal of Economic Perspectives,15,3–24. Fisher,E.O’N. and J.Y. Park (1991),‘Testing Purchasing Power Parity under the Null Hypothesis of Co-integration’, Economic Journal,101 (November),1476–84. Fleming,J.M. (1962),‘Domestic Financial Policies under Fixed and Floating Exchange Rates’, IMF Staff Papers,369–79. Flood,M. (1991),‘Microstructure Theory and the Foreign Exchange Market’,Federal Reserve Bank of St Louis Quarterly Review,November/December,52–70. Flood,R.P. (1981),‘Explanations of Exchange Rate Volatility and Other Empirical Regularities in Some Popular Models of the Foreign Exchange Market’, Carnegie-Rochester Series on Public Policy,15,219–50. Flood,R.P. and P. Garber (1984),‘Collapsing Exchange Rate Regimes: Some Linear Examples’, Journal of International Economics,17,1–14. Flood,R.P. and N. Marion (1997a),‘Perspectives on the Recent Currency Crisis Literature’, IMF Research Department Seminar. Flood,R.P. and N. Marion (1997b),‘Policy Implications of Second Generation Crisis Models’, IMF Staff Papers,44(3),333–90. Flood,R.P. and N. Marion (2000),‘Self-fulfilling Risk Predictions: An Application to Speculative Attacks’, Journal of International Economics ,50,245–68,263. Flood,R.P. and A.K. Rose (1995),‘Fixing Exchange Rates: A Virtual Quest for Fundamentals’, Journal of Monetary Economics,36,3–37. Flood,R.P. and A.K. Rose (1999),‘Understanding Exchange Rate Volatility without the Contrivance of Macroeconomics’, Economic Journal,109,F660–F672. Flood,R.P.,A.K. Rose and D. Mathieson (1991),‘An Empirical Exploration of Exchange Rate Target Zones’, Carnegie-Rochester Series on Public Policy,35 (Amsterdam: North Holland). Flood,R.P.,P. Garber and C. Kramer (1996),‘Collapsing Exchange Rate Regimes: Another Linear Example’, Journal of International Economics,41,223–34. Forni,M. and L. Reichlin (2001),‘Federal Policies and Local Economies: Europe and the US’, European Economic Review,45,109–34. Forsyth,P.J. and J.A. Kay (1980),‘The Economic Implications of North Sea Oil Reserves’, Fiscal Studies, 1,1–28. Frankel,J.A. (1979),‘On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials’, American Economic Review,69,610–22. Frankel,J.A. (1982a),‘A Test of Perfect Substitutability in the Forward Exchange Market’, Southern Economic Journal,46,1083–101. Frankel,J.A. (1982b),‘In Search of Exchange Risk Premium: A Six Currency Test Assuming Mean-variance Optimization’, Journal of International Money and Finance,1, 255–74. Frankel,J.A. (1982c),‘The Mystery of the Multiplying Marks: A Modification of the Monetary Model’, Review of Economics and Statistics,87,216–30. Frankel,J.A. (1983),‘Monetary and Portfolio-balance Models of Exchange Rate Determination’,in J.S. Bhandari,B.H. Putnam and J.H. Levin (eds),Economic Interdependence and Flexible Exchange Rates (Cambridge,MA: MIT Press). Frankel,J.A. (1984),‘Tests of Monetary and Portfolio Balance Models of Exchange Rate Determination’,in J.F.O. Bilson and R.C. Marston (eds),Exchange Rate Theory and Practice (Chicago: Chicago University Press),239–59. Frankel,J.A. (2003),‘Experience of and Lessons from Exchange Rate Regime in Emerging Economies’,NBER Working Paper No. 10032,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 381 and 382: 366 Market microstructure approach
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Page 385 and 386: 15 Spot and forward exchange rates
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 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: 416 References Edwards,S. and I. Ma
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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