Exchange Rate Economics: Theories and Evidence

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,