Exchange Rate Economics: Theories and Evidence

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References 435 Pedroni,P. (2001),‘PPP in Cointegrated Panels’,Review of Economics and Statistics,4,727–31. Perron,P. and T.J. Vogeslang (1992),‘Nonstationarity and Level Shifts with and Application to Purchasing Power Parity’, Journal of Business and Economic Statistics,10 (July),301–20. Pesaran,H. (1989),‘Consistency of Short-term and Long-term Expectations’,Journal of International Money and Finance,8,511–20. Phillips,P.C.B. and B.E. Hansen (1990),‘Statistical Inference in Instrumental Variables Regression with I(1) Processes’, Review of Economic Studies,57,99–125. Prat,G. (1994),‘La Formation des Anticiaptions Boursieres’,Economie et Prevision,112, 101–25. Prat,G. and R. Uctum (1996),‘FF/$ Exchange Rate Expectations Formation: Analysis of the Hypothesis of Changes in Processes over Time’,in proceedings of the Third International Conference,Forecasting Financial Markets: New Advances for Exchange Rates,Interest Rates and Asset Management,London,27–29 March. Prat,G. and R. Uctum (1997),‘La Formation des Anticipations de Change’,mimeo, University of Paris. Putnam,B.H. and J.R. Woodbury (1980),‘Exchange Rate Stability and Monetary Policy’, Review of Business and Economic Research,15,1–10. Quah,D. (1994),‘Exploiting Cross-section Variation for Unit Root Inference in Dynamic Data’, Economics Letter,44(1),9–19. Radelet,S. and J. Sachs (1998),‘The Onset of the Asian Crisis’,NBER Working Paper Series No. 6680. Razin,A. and Y. Rubinstein (2005),‘Exchange Rate and Capital Market Regimes: Resolution to Confounding Effects on Macroeconomic Performance’,mimeo,Cornell University. Reinhart,C.M. and K.S. Rogoff (2002),‘The Modern History of Exchange Rate Arrangements: A Reinterpretation’,NBER Working Paper No. 8963. Reinhart,C.M.,K.S. Rogoff and M.A. Savastano (2003),‘Addicted to Dollars’,NBER Working Paper No. 10015. Rey,H. (2001),‘International Trade and Currency Exchange’,Review of Economic Studies, 68(2),April 2001,443–64. Ricci,L. (1999),‘Economic Geography and Comparative Advantage: Agglomeration Versus Specialization’, European Economic Review,43,357–77. Rigobon,R. and B. Sack (2002),‘The Impact of Monetary Policy on Asset Prices’,Finance and Economics Discussion Series 2002–4,Board of Governors of the Federal Reserve System (US). Rogers,J.H. (1999),‘Monetary Shocks and Real Exchange Rates’,Journal of International Economics,49(2),269–88. Rogers,J.H. and M. Jenkins (1995),‘Haircuts or Hysteresis? Sources of Movements in Real Exchange Rates’, Journal of International Economics,38,339–60. Rogoff,K. (1984),‘On the Effects of Sterilised Intervention: An Analysis of Weekly Data’, Journal of Monetary Economics,14,123–50. Rogoff,K. (1992),‘Traded Goods,Consumption Smoothing and the Random Walk Behaviour of the Real Exchange Rate’,NBER Working Paper No. 4119. Rogoff,K. (1996),‘The Purchasing Power Parity Puzzle’,Journal of Economic Literature, XXXIV,647–68. Rogoff,K. (1999),‘Monetary Models of Dollar/Yen/Euro Nominal Exchange Rate: Dead or Undead’, Economic Journal,109,F655–9. Rogoff,K.S.,A.M. Husain,A. Mody,R. Brooks and N. Oomes (2004),‘Evolution and Performance of Exchange Rate Regimes’,IMF,Occasional Paper No. 229.
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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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Page 399 and 400: 384 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 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: 434 References Obstfeld,M. and K. R
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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