Exchange Rate Economics: Theories and Evidence

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Index 441 Branson,W.H. 178,194–5,394 Bretton Woods system 9,24 Brillembourg,S. 193 Britain 213 brokerage trading systems,automated 4 broker’s ‘inside spread’ 4 Browne,F. 197 Buiter,W.H. 36,120,123,128,139 Buiter–Miller model 126 Burstein,A.T. 86 business cycle correlation,397 n.18 Calvo,G. 28,170,173,176 Campa,J.M. 84 Campbell,J.Y. 57,159,161,210,213 Canada 213 Canzoneri,M.B. 62,76,177–8 Cao,H.H. 366–7 capital account and covered interest rate parity Tsiang’s trichotomy 12–17 capital enhanced measures of the equilibrium exchange rate (CHEERS) 229–32; advantages 232 Caplin,A. 332 Cassel,G. 42–3,152 Cavaglia,S. 391–4 Cerra,V. 332 Chadha,B. 219–20,222 Chang,R. 323 Chari,V.V. 277,332 Chen,M. 66 Chetty,C. 191 Cheung,Y.-W. 54,64,85,156–7,345,359 Chinn,M. 18,76,85,144,235,287,345, 359,392 Chionis,D. 342,351 Chortareas,G.E. 207 Choudri,E. 192 Chrystal,A. 147 Clarida,R.H. 128,206,213-16,218–20, 222,237,287 Clarida–Gali (CG) SVAR approach 216–23; deficiencies 222; empirical work on 222; German mark–Japanese yen 222; impulse response analysis of 219; to the Japanese yen–US dollar exchange rate 219–20; LM equation 216; to the real effective exchange rates of 237; UK pound–US dollar exchange rate 221; US dollar–German mark 222; US dollar–Japanese yen 222 Clark,P.B. 207–8,228–9,232–4,240–3 Clark,P.K. 348 Classical Gold standard (gold points) 10, 396 n.5 Clostermann,J. 234 Coakley,J. 61 Cochrane,J.H. 57,63 Cohen,K.J. 356 cointegration-based estimates of the RERI 206–8; cointegration-based empirical evidence on the RERI relationship 208; Hoffman and MacDonald method 209; Johansen cointegration estimation method 207; panel cointegration methods 207 constant relative risk aversion (CRRA) 378 Copeland,T.E. 351 Cornell,B. 356,395 Coughlin,C.C. 207 crawling peg system,29 Crucini,M. 64 Cuddington,J.T. 193 Cumby,R.E. 64,212,237,331,380 currency substitution (CS) models and the portfolio balance approach to the exchange rate 166–98; asset preference shift 189–90; description 166–78; and dollarisation concept 193; domestic bonds, increase in supply of 187–9,new bond issue and currency appreciation 189,new bond issue and currency depreciation 187-9; empirical evidence on CS 190–4; and the flex-price monetary approach 168–9; open market purchase of bonds, monetary policy 184–90,impact period 184–5,short-run adjustment period and the move to the new long-run equilibrium 185–7; portfolio balance approach 178–84, see also separate entry; wealth effects and two CS models 169–76,foreign currency accumulation in 176,general equilibrium model 177–8,long-run equilibrium or steady state conditions for 171–2,monetary expansion in currency substitution model 176,open market purchase of foreign money for domestic money 172,with perfect foresight and non-traded good 175 Cushman,D.O. 147,197–8 Dahlquist,M. 387 Dean,J. 194 De Grauwe,P. 35 DeGregorio,J. 76 Delgado,F.A. 305 Demsetz,H. 353 Detken,C. 240 Devereux,M.B. 36,86,274,276–8,280, 286,287 de Vries,C. 20,164
442 Index Diba,B. 177–8 Dickey,D.A. 53–4 Dickey–Fuller statistics,in PPP 53–4,60; augmented Dickey–Fuller (ADF) statistics 57 Diebold,F.X. 59 Dixit,A.K. 89 Dominguez,K.M. 299,392 Domowitz,I. 357,381 Dooley,M. 195 Dornbusch,R. 19,77,86,106–7,115, 139–40,178,199,269,272,394–5 Dornbusch overshooting model 64 Drazen,A. 336 Driskell,R.A. 135–6,139,141 Driver,R.L. 207,245 Duarte,M. 282,284–5 Dumas,B. 71,305,382 ‘Dutch disease’ issue 400 n.3(chap.5) Easley,D. 357,362 Eastwood,R.K. 120 eclectic real exchange rate model (EERM) 199–205, see also under real exchange rate determination economics of fixed exchange rates,part 1 289–312; base-line target zone model 290–304,formal analysis of S in the target zone 291–4,monetary policy and a family of S curves 293,S-shaped curve 290–4; base-line target zone model,extensions of 304–12,credibility issues 304–5, credibility revisited,modelling credibility violations 306–7,drift adjustment method 307,intra-marginal interventions, incorporating 305–6,peso effect 307; credibility revisited,monetary independence in target zones 307–12, Granger Representation Theorem 310, interest differential,components 309, vector error correction mechanism (VECM) 310; direct tests of the model 303–4; target zone model,empirical evidence on 297–300,drift adjusted measure of credibility 297,‘fixed rate’ regime 297,model assumptions 297–300, peso effect 298,simplest test of credibility 297; target zone model predictions 300–3; target zone model,sticky-price variant of 294–7, S schedule in S–f space 294, stochastic sticky-price target zone model 296 economics of fixed exchange rates,part 2, speculative attack models and contagion 313–38; base-line second generation model 319–21,first and second generation speculative attack models,critique of 320, second generation speculative attack model 320; empirical evidence 328–38, contagion 336–8,estimates of first generation models 328–31, Markov–Switching-regime models 331, maximum likelihood methods 332,probit model 334,self-fulfilling crises and escape clause models,empirical evidence on 331–2,signal performance matrix 334, speculative index approaches 333–6; escape clause variant of second generation model 321–3,animal spirits 322,escape clause model,criticisms 323,Phillips curve 321; first generation models 313; first generation models,modifications to 317–9,dynamics of the crisis 318; fourth generation models 326–8; speculative attack,theory of 314–28,first generation models 314–17,money market equilibrium 316,post-attack money market 315; third generation speculative attack models 323–6,base line MF model 324,classic bubble process 324,third generation speculative attack model 325 Edison,H.J. 59,206–7,312 Edwards,S. 33,394 efficient markets PPP (EMPPP) 47 Eichenbaum,M. 223,287 Eichengreen,B. 333 Elbadawi,I. (1994),235 El-Gamal,M.A. 73 Enders,W. 54 Engel,C. 35,50–1,63,66,70–2,86,162–3, 277–8,286,382–4,395 Engle,R.F. 23,62,352–3 Engle–Granger method/Engle–Granger two-step regression 53–4; Engle–Granger cointegration methods 206–7 Epps,M.L. 351 Epps,T.W. 351 equilibrium exchange rates,measurement and misalignment 227–50; behavioural equilibrium exchange rates (BEERs) 232–6; cointegration-based PEER estimates 240–3,BEER type relationships, estimation 242,Granger–Gonzalo decomposition 242–3,Johansen estimation 242; internal–external balance (IEB) approach 243–50,fundamental equilibrium exchange rates (FEERS) 243–5, see also separate entry,IMF variant of 246,medium-run equilibrium exchange rate,mechanics of calculating 246,natural real exchange rate (NATREX) 246–7,
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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 405 and 406: 390 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 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: Index Abadir,K. 389 Abuaf,N. 60 Adl
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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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