Exchange Rate Economics: Theories and Evidence

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Index 449 Sauernheimer,K. 246 Saxena,S.C. 332 Schadler,S. 193 Schinasi,G. 150 Schlagenhauf,D.E. 158 Schnatz,B. 234 Schwartz,A.J. 306 Selover,D.D. 53 Sheffrin,S.M. 120,141 Shiller,R.J. 58,59,159,161,210 Shin,Hyun Song 323 skewness 397 n.11 Smidt,S. 360 Smith,G.W. 303 Smith,P. 139–40 smooth transition autoregressive (SETAR) model 72 Soderlind,P. 300,304,306 Sohmen,E. 106 spatial arbitrage process 43 Spencer,M.G. 303 Spinelli,F. 192 spot and forward exchange rate 2; DD c and SS c schedules 15; and the forward premium puzzle 370–95, see also separate entry; joint determination 15 spot and forward exchange rates and forward premium puzzle 370–95; empirical issues 387–90,liquidity effects 387,weak exogeneity 388–90; expectational explanations for the forward premium puzzle,learning,peso effects and irrationality 385–7,peso effects 386–7, rational learning 385–6; foreign exchange market,news in 394–5; forward premium puzzle,decomposing the 373–5,irrational expectations 374–5,small sample bias 374; forward premium puzzle,the risk premium and the Lucas general equilibrium model 375–85,Lucas model and the general equilibrium approach to the risk premium 375–7; general equilibrium risk premium model testing 377–82,ARCH/GARCH tests 381–2, direct (error orthogonality) tests 377–8, Hansen–Jaganathan bounds 380–1,latent variable tests 378–80; portfolio-balance approach to measuring risk 382–5; unbiasedness of the forward exchange rate 370–2; unraveling forward rate bias, survey data in 390–4,extrapolative expectations 393,testing expectations formation 393–4 Srivastava,S. 380 Stein,J. 246–7 sticky-price monetary model (SPMA) 94, 106–33; Lucas monetary model with sticky prices 130–3; monetary approach, sticky-price variant of 114–28,anticipated monetary policy changes and 118–19, phase diagram representation 117,Phillips excess demand relationship 115; money growth,inflation and 123–8,Buiter–Miller model 126,level and growth changes in the money supply 127, Mundell–Fleming (MF) model 106–14, Mundell–Fleming–Dornbusch model, stochastic version of 128–30; see also separate entry; resource discovery and 119–23, exchange rate and price level,dynamic behaviour 121; SPMA II model 124–5 Stiglitz,J. 89 Stockman,A.C. 24,26–7,99,103,163,199, 214,284–5 Stoll,H. 355 Stone,J.A. 140 structured vector autoregressions 237–40 Stultz,R. 382 Sturzeneger,F. 28 Subrahmanyam,A. 354,357 Sul,D. 148,156 sunk costs 71 Sutherland,A. 303 Svensson,L.E.O. 251,297–8,302,304, 306–7,309,331 Swagel,P. 206,219–21,237,287 Swamy,K. 150 Sweeney,R. 62 Swiss franc–US dollar 372 Swoboda,A. 37 Talmain,G. 389 target zone model,for floating exchange rates 8 Tauchen,G.E. 348–50 Taylor,A.M. 71–2 Taylor,M.P. 17,54,63,66–7,72,144, 146–7,150–1,159,161,163,210,285 Tesar,L. 384 Thaler,R. 372 Thomas,S.H. 384 Throop,A. 207 Tille,C. 37–8 Torrance,T.S. 392–3 Total Fundamentals (TF) 163 Townend,J. 139 Townsend,R.M. 367–78 tradables and non-tradables,geometric average of the prices of 399 n.16
450 Index trade: interbank trade 345–6; trade conducted through brokers 345; trade undertaken by private customers 345; traded and non-traded goods,split between 398 n.4; US-based foreign exchange trade 345 Tsay,R.S. 71 Tsiang,S.C. 1,12 Tsiang analysis 396 n.8 two-country redux model 403 n.8(chap.10) two-country two-good model 403 n.8(chap.13) Uctum,R. 393 uncovered (or open) interest rate parity (UIP) 17,47; empirical evidence on 18 Urich,T.J. 395 van der Ploeg,F. 296 Vanhaverbeke,W. 35 van Wijnbergen,S. 251,331 van Wincoop,E. 278–80,367–9 Velasco,A. 323 Venables,A.J. 120 Verboven,T. 61 Verschoor,W.F.C. 394 Virtual Fundamentals (VF) 163 Wachtel,P. 395 Wadhwani,S. 234 Wallace,M.S. 139 Walras’s law 399 n.1 weak- and semi-strong form efficiency, definitions 404 n.1(chap.15) Weber,A. 221–2 Wei,S. 67 Wei,S.-J. 60,62,69–72 Weller,P. 294–5,296 Werner,I. 384 West,K.D. 162–3 Westerfield,J.M. 20 Wickens,M.R. 139–40,384 Williamson,J. 243–4 ‘wishful expectations’,344 Wojcik,C. 236 Wolf,H. 64,76,83–4 Wolff,C. 150 Wolff,C.C.P. 394 Woodbury,J.R. 139 Wren-Lewis,S. 243–5 Wu,L. 18 Wu,Y. 60 Wyplosz,C. 333 Yao,J. 362 Yeyati,E. 33
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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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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 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: 448 Index purchasing power parity (
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Exchange Rate Economics: Theories and Evidence

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