Exchange Rate Economics: Theories and Evidence

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References 439 Westerfield,J.M. (1977),‘An Examination of Foreign Exchange Risk under Fixed and Floating Rate Regimes’, Journal of International Economics,7,181–200. Whitt,J.A. (1992),‘The Long-run Behaviour of the Real Exchange Rate: A Reconsideration’, Journal of Money, Credit and Banking,24 (February),72–82. Williamson,J. (1983a),Estimating Equilibrium Exchange Rates (Washington,DC: Institute for International Economics). Williamson,J. (1983b),The Exchange Rate System (Washington,DC: Institute for International Economics). Williamson,J. (1988),‘Managing the Monetary System’,in P.B. Kenen (ed.),Managing the World Economy: Fifty Years After Bretton Woods (Washington,DC: Institute for International Economics). Wilson,C.A. (1979),‘Anticipated Shocks and Exchange Rate Dynamics’,Journal of Political Economy,87(3),639–47. Wolff,C. (1987),‘Time-varying Parameters and the Out-of Sample Forecasting Performance of Structural Exchange Rate Models’, Journal of Business and Economics Statistics,5, 87–97. Woo,W.T. (1985),‘The Monetary Approach to Exchange Rate Determination under Rational Expectations: The Dollar–Deutschemark Rate’, Journal of International Economics, 18,1–16. Wren-Lewis,S. (1992),‘On the Analytical Foundations of the Fundamental Equilibrium Exchange Rate’,in Colin P. Hargreaves (ed.),Macroeconomic Modelling of the Long Run (London: Edward Elgar). Wren-Lewis,S. (1998),‘How Robust Are FEERs?’,in R. MacDonald and J. Stein (eds), chapter 5, Equilibirum Exchange Rates (Amsterdam: Kluwer Press). Wu,Y. (1996),‘Are Real Exchange Rates Nonstationary? Evidence from a Panel Data Set’, Journal of Money Credit and Banking,28,54–63. Yao,J. (1998),‘Market Making in the Interbank Foreign Exchange Market’,New York University,Salomon Center Working Paper No. S-98-3.
Index Abadir,K. 389 Abuaf,N. 60 Adler,M. 382 Admati,A. 354,357 agents: discretionary liquidity traders 354; informed traders 354; non-discretionary liquidity traders 354 agglomeration effects and comparative advantage,relation between 399 n.12 Ahking,F.W. 54 Alberola,E. 234,242 Aliber,R. 17 Allen,P.R. 178–9,246 Amanti,A. 362 Amihud,Y. 355 Anthony,M. 302 ARCH/GARCH tests 381–2 Argy,V. 35 Arnold,I. 157,164 asset approach: key contribution 95; monetary approach 95, see also flexible price monetary approach; portfolio-balance approach 95 asset market model,for floating exchange rates 8 autoregressive conditional heteroscedasticty (ARCH) models 23 Bacchetta,P. 278–80,367–9 Backus,D. 139–40,378 Bagehot,W. 353–4 Baillie,R.T. 53,353 balance of payments: diagrammatic representation 8–12; ‘fundamental’ components of 7 Balassa,B. 46,51–2,63,68,73–7,86,88–9, 91,156,199,208,212,226,236,241,265, 398 n.3,399 n.8 Balassa–Samuelson hypothesis/model 46, 51–2,68,73–5,398 n.3(chap.3), 399 n.8 Band Threshold Autoregressive (B-TAR) model 71–2 Banerjee,A.V. 332 Bansal,R. 387 Barr,D. 139 Barrell,R. 244,245 Barrios,S. 35–6 Baxter,M. 24,163,206,208–9,213 Bayoumi,T. 60,245,338 Bec,F. 72 Beetsma,R.M. 296 behavioural equilibrium exchange rates (BEERs) 228,232–6; US BEER 234 Bekaert,G. 381 Benassy,A. 343 benchmark flexible-price model,for floating exchange rates 25–6 Bergin,P.R. 276–8,288 Bertola,G. 298,304 Bessembinder,H. 356 Betts,C. 274,276–7,287 Beveridge–Nelson (BN) decompositions 212, 236–7 Big Mac data 67 Bikhchandani,S. 332 bilateral spot exchange rate 2 Bilson,J.F.O 135,190 Bisignano,J. 195 Black,S. 350,384 Blanchard,O. 37,214 Blanchard–Quah decomposition 220,222 Blanco,H. 328–30 Blundell-Wignall,A. 197 Bollerslev,T. 23,353,356–7 Boothe,P. 20,356 Bordo,M.D. 192,302,309–10,312 Bough,S. 63
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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 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 and 450: 434 References Obstfeld,M. and K. R
Page 451 and 452: 436 References Roll,R. (1979),‘Vi
Page 453: 438 References Tauchen,G.E. and M.
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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