International macroe.. - Free

362 SUBJECT INDEXEfficient capital market, 161Equity premium puzzle, 179Error-components representation,52Escape clause, 338Euler equationsLucas model, 108—109, 111—112, 116, 120, 122Pricing-to-market model, 288Redux model, 271Eurocurrency, 4Excess exchange rate volatility,88Exchange Rate Mechanism of EuropeanMonetary System,305Exchange rate quotationAmerican terms, 2, 79European terms, 2Expected speculative proÞtEstimation of, 170—172Expenditure switching effect, 230,235, 245, 284, 299, 301External balance, 261FFiltering time-series, 67—78Linear Þlters (begin range 1),74—78Hodrick-Prescott Þlter, 75—78Removing non-cyclical components,138First-generation models, 326—332Fisher equation, 268Fisher test—See Maddala—Wu testForeign exchange reserves of centralbank, 20Forward exchange rateLucas model, 123Transactions (outright), 3Contract maturities, 4premium and discount, 4Forward premium bias—see UncoveredInterest Parity,Deviations fromFundamentals traders, 197Fundamentals, economic, 85Futures contracts, 12—15Margin account, 12Yen contract for June 1999delivery, 14Long position, 12Settlement, 12Short position, 12GGambler’s ruin problem, 319Generalized method of moments,35—38, 164Asymptotic distribution, 38Long-run covariance matrix,37Testing Euler equations, 177—179Tests of overidentifying restrictions,38HHalf-life to convergence, 43Real exchange rate, 218