Exchange Rate Economics: Theories and Evidence

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References 425 Jeanne,O. and P. Masson (2000),‘Currency Crises,Sunspots and Markov–Switching Regimes’, Journal of International Economics,50,327–50. Johansen,S. (1988),‘Statistical Analysis of Cointegrating Vectors’,Journal of Economic Dynamics and Control,12,231–54. Johansen,S. (1995),Likelihood-based Inference in Cointegrated Vector Autoregressive Models (Oxford: Oxford University Press). Johansen,S. and K. Juselius (1990),‘Testing Structural Hypothesis in a Multivariate Cointegration Analysis of the PPP and the UIP for the UK’, Journal of Econometrics, 53,211–44. Johansen,S. and K. Juselius (1992),‘Maximum Likelihood Estimation and Inference on Cointegration – with Applications to the Demand for Money’, Oxford Bulletin of Economics and Statistics,52,169–210. Johansen,S. and K. Juselius (1994),‘Identification of the Long-run and the Short-run Structure. An Application to the ISLM Model’, Journal of Econometrics,63,7–36. Johnson (1977),‘The Monetary Approach to the Balance of Payments: A Non Technical Guide’, Journal of International Economics,7,251–68. Jorion,P. (1996),‘Risk and Volume in the Foreign Exchange Market’,in Frankel,Galli and Giovannini (eds), The Microstructure of the Foreign Exchange Market (Chicago,IL: University of Chicago Press). Jorion,P. and R. Sweeney (1996),‘Mean Reversion in Real Exchange Rates: Evidence and Implications for Forecasting’, Journal of International Economics,40,112–30. Juselius,K. (1995),‘Do Purchasing Power Parity and Uncovered Interest Rate Hold in the Long Run, Journal of Econometrics,69,211–40. Juselius,K. and R. MacDonald (2004),‘The International Parities between Japan and the USA’, Japan and the World Economy, 16,17–34. Juselius,K. and R. MacDonald (2007),‘International Parity Relationships and a Nonstationary Real Exchange Rate. Germany Versus the US in the Post Bretton Woods Period’,forthcoming in V. Morales (ed.),Recent Issues in International Macroeconomics (New York: Nova Publications). Kalemli-Ozcan,S.,B.E. Sorenson and O. Yosha (2001),‘Economic Integration,Industrial Specialization and the Asymmetry of Macroeconomic Fluctuations’, Journal of International Economics,55,107–37. Kamin,S.,J. Schindler and S. Samuel (2001),‘The Contribution of Domestic and External Factors to Emerging Market Devaluation Crises: An Early Warning Systems Approach’, International Finance Discussion Paper,Board of Governors of the Federal Reserve System. Kaminsky,G. and R. Peruga (1988),‘Risk Premium and the Foreign Exchange Market’, mimeo,San Diego: University of California. Kaminsky,G. and R. Peruga (1990),‘Can a Time-varying Risk Premium Explain Excess Returns in the Forward Market for Foreign Exchange?’, Journal of International Economics, 28(1/2) (February 1990),47–70. Kaminsky,G.L. and C.M. Reinhart (1996),‘The Twin Crises: The Causes of Banking and Balance-of-payments Problems’,International Finance Discussion Paper No. 544,Board of Governors of the Federal Reserve System. Kaminsky,G.,S. Lizondo and C.M. Reinhart (1997),‘Leading Indicators of Currency Crisis’,IMF Working Paper No. WP/97/79. Kawai,M. and H. Ohara (1998),‘Nonstationarity of Real Exchange Rates in the G7 Countries: Are They Cointegrated with Real Variables?’, Journal of Japanese and International Economies,11,523–47.
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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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15 Spot and forward exchange rates
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372 Spot and forward exchange rates
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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 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 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: 424 References Hooper,P. and J. Mor
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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