Exchange Rate Economics: Theories and Evidence

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References 419 Frankel,J.A. and K.A. Froot (1987),‘Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations’, American Economic Review,77 (March 1987), 133–53. Frankel,J.A. and K.A. Froot (1989),‘Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations’, Quarterly Journal of Economics,104 (February),139–61. Frankel,J.A. and K.A. Froot (1990a),‘Chartists,Fundamentalists,and the Demand for Dollars’,in A.S. Courakis and M.P. Taylor (eds),Private Behavior and Government Policy in Interdependent Economies (Oxford: Clarendon Press). Frankel,J.A. and K.A. Froot (1990b),‘Exchange Rate Forecasting Techniques,Survey Data,and Implications for the Foreign Exchange Market’,NBER Working Paper No. 3470. Frankel,J.A. and R. Meese (1987),‘Are Exchange Rates Excessively Variable?’,in S. Fischer (ed.), NBER Macroeconomics Annual (Cambridge: MIT Press),117–53. Frankel,J.A. and D. Romer (1999),‘Does Trade Cause Growth?’,American Economic Review, 89,379–99. Frankel,J.A. and A. Rose (1995a),‘A Survey of Empirical Research on Nominal Exchange Rates’,in S. Grossman and K. Rogoff (eds),The Handbook of International Economics, 3 (Amsterdam: North Holland). Frankel,J.A. and A. Rose (1995b),‘A Panel Project on Purchasing Power Parity: Mean Reversion within and between Countries’,NBER Working Paper No. 5006,February 1995 (Cambridge,MA: National Bureau of Economic Research). Frankel,J.A. and A.K. Rose (1996),‘Currency Crashes in Emerging Markets: Empirical Indicators’,CEPR Discussion Paper No. 1349,C.E.P.R. Discussion Papers. Frankel,J.A. and A.K. Rose (1998),‘The Endogeneity of the Optimum Currency Area’, The Economic Journal,108(July),1009–25. Fratianni,M. and L.M. Wakeman (1982),‘The Law of One Price in the Eurocurrency Market’, Journal of International Money and Finance,1,307–23. Frenkel,J.A. (1976),‘A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence’, Scandinavian Journal of Economics,200–24. Frenkel,J. (1980),‘Exchange Rates,Price,and Money: Lessons from the 1920s’,American Economic Review, Papers and Proceedings,70 (May 1980),235–42. Frenkel,J. (1981),‘Flexible Exchange Rates,Prices and the Role of “News”: Lessons from the 1970s’, Journal of Political Economy,89 (August 1981),665–705. Frenkel,J.A. and H.G. Johnson (1976),The Monetary Approach to the Balance of Payments (London: Allen and Unwin). Frenkel,J.A. and R.M. Levich (1975),‘Covered Interest Arbitrage: Unexploited Profits?’, Journal of Political Economy,83,325–38. Frenkel,J.A. and R.M. Levich (1977),‘Transaction Costs and Interest Arbitrage: Tranquil Versus Turbulent Periods’, Journal of Political Economy,85,1209–24. Frenkel,J.A. and M.L. Mussa (1980),‘The Efficiency of Foreign Exchange Markets and Measures of Turbulence’, American Economic Review,70,374–81. Frenkel,J. and M.L. Mussa (1986),‘Exchange Rates and the Balance of Payments’,in R. Jones and P. Kenen (eds), Handbook of International Economics,2 (Amsterdam: North Holland). Frenkel,J. and M.L. Mussa (1988),‘Asset Markets,Exchange Rates,and the Balance of Payments’,chapter 14,in E. Grossman and K. Rogoff (eds),Handbook of International Economics, 3 (Amsterdam: North Holland). Frenkel,J.A. and L. Rodriguez (1982),‘Exchange Rate Dynamics and the Overshooting of Hypothesis’, IMF Staff Papers,1–30.
420 References Frieden,J.P.G. and E. Stein (2001),‘Politics and Exchange Rates: A Cross Country Approach to Latin America’,Research Network Working Paper,R-421 (Washington, DC: Inter-American Development Bank). Friedman,M. (1953),‘The Case for Flexible Exchange Rates’,in M. Friedman (ed),Essays in Positive Economics (Chicago,IL: Chicago University Press). Friedman,M. (1990),‘Bimetallism Revisited’,Journal of Economic Perspectives 4(4) (Fall), 85–104. Friedman,M. and A.J. Schwartz (1963),A Monetary History of the United States, 1867–1960 (Chicago,IL: Chicago University Press). Friedmann,W. and J. Clostermann (1997),‘Determinants of the Real D–Mark Exchange Rate’,mimeo,Deutsche Baundesbank. Frommel,M.,R. MacDonald and L. Menkhoff (2005),‘Do Fundamentals Matter for the D–Mark/Euro–Dollar? A Regime Switching Approach’, Global Finance Journal,15, 321–35. Froot,K.A. and T. Ito (1989),‘On the Consistency of Short-run and Long-run Exchange Rate Expectations’, Journal of International Money and Finance,8,487–510. Froot,K.A. and M. Obstfeld (1991),‘Exchange-rate Dynamics under Stochastic Regime Shifts: A Unified Approach’, Journal of International Economics, 31(3–4),203–29. Froot,K.A. and K. Rogoff (1985),‘Perspectives on PPP and Long-run Real Exchange Rates’,in R.W. Jones and P.B. Kenen (eds),Handbook of International Economics, 3 (Amsterdam: North Holland),679–747. Froot,K. and R. Thaler (1990),‘Anomolies: Foreign Exchange’,Journal of Economic Perspectives’,4,179–92. Froot,K.,M. Kim and K. Rogoff (1995),‘The Law of One Price over 700 Years’,NBER Working Paper No. 5132. Fuller,W.A. (1976),Introduction to Statistical Time Series (New York: Wiley). Gagnon,J. (1996),‘Net Foreign Assets and Equilibrium Exchange Rates: Panel Evidence’, International Finance Discussion Paper No. 574. Galati,G. (2001),‘Why Has Global FX Turnover Declined? Explaining the 2001 Triennial Survey’, Bank for International Settlements Quarterly Review 0112,1–25. Gan,W.B. and K.S. Wong (1993),‘Exchange Rate Expectations and Risk Premium in the Singapore/US Dollar Exchange Rate: Evidence from Survey Data’, Applied Financial Economics,3(4),365–73. Garman,M.B. (1976),‘A General Theory of Asset Valuation under Diffusion State Processes’,Research Program in Finance Working Paper No. 50,University of California at Berkeley. Genberg,H. (1978),‘Purchasing Power Parity under Fixed and Flexible Exchange Rates’, 8,247–76. Ghironi,F.,T.B. Iscan and A. Rebucci (2003),‘Productivity Shocks and Consumption Smoothing in The International Economy’,Boston College Working Paper No. 565. Ghosh,A. (1991),‘Accounting for Real Exchange Rate Movements in the Short-run and in the Long-run’,mimeo,Princeton University. Ghosh,A. and H. Wolf (1994),‘Pricing in International Markets: Lessons from the Economist’,NBER Working Paper No. 4806. Ghosh,A. and H. Wolf (2001),‘Imperfect Exchange Rate Pass-through: Strategic Pricing and Menu Costs’,CESifo Working Paper No. 436. Ghosh,A.R.,A.-M. Gulde and H.C. Wolf (1997),‘Does the Nominal Exchange Rate Regime Matter?’,NBER Working Paper No. 5874.
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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 383 and 384: 368 Market microstructure approach
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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
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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
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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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