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viCONTENTS5 <strong>International</strong> Real Business Cycles 1375.1 Calibrating the One-Sector Growth Model ........1385.2 Calibrating a Two-Country Model .............1496 Foreign Exchange Market Efficiency 1616.1 Deviations From UIP ....................1626.2 Rational Risk Premia ....................1726.3 Testing Euler Equations ..................1776.4 Apparent Violations of Rationality ............1836.5 The ‘Peso Problem’ .....................1866.6 Noise-Traders ........................1937 The Real Exchange Rate 2077.1 Some Preliminary Issues ..................2087.2 Deviations from the Law-Of-One Price ..........2097.3 Long-Run Determinants of the Real Exchange Rate ...2137.4 Long-Run Analyses of Real Exchange Rates .......2178 The Mundell-Fleming Model 2298.1 A Static Mundell-Fleming Model .............2298.2 Dornbusch’s Dynamic Mundell—Fleming Model ......2378.3 A Stochastic Mundell—Fleming Model ...........2418.4 VAR analysis of Mundell—Fleming .............2499 The New <strong>International</strong> Macroeconomics 2639.1 The Redux Model ......................2649.2 Pricing to Market ......................28610 Target-Zone Models 30710.1 Fundamentals of Stochastic Calculus ...........30810.2 The Continuous—Time Monetary Model ..........31010.3 InÞnitesimal Marginal Intervention ............31310.4 Discrete Intervention ....................31910.5 Eventual Collapse ......................32010.6 Imperfect Target-Zone Credibility .............322
Page 2: To Shirley, Laurie, and Leslii
Page 9 and 10: Chapter 1Some InstitutionalBackgrou
Page 11 and 12: 1.1. INTERNATIONAL FINANCIAL MARKET
Page 23 and 24: 1.2. NATIONAL ACCOUNTING RELATIONS
Page 29 and 30: 1.3. THE CENTRAL BANK’S BALANCE S
Page 31 and 32: Chapter 2Some Useful Time-SeriesMet
Page 33 and 34: 2.1. UNRESTRICTED VECTOR AUTOREGRES
Page 43 and 44: 2.2. GENERALIZED METHOD OF MOMENTS
Page 45 and 46: 2.2. GENERALIZED METHOD OF MOMENTS
Page 47 and 48: 2.3. SIMULATED METHOD OF MOMENTS 39
Page 49 and 50: 2.4. UNIT ROOTS 41(1 − ρz) = 0 l
Page 51 and 52: 2.4. UNIT ROOTS 43The extension to
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2.4. UNIT ROOTS 45² 0 = 0, which i
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2.4. UNIT ROOTS 47on q t last forev
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2.4. UNIT ROOTS 49ρ = 1, the incre
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2.5. PANEL UNIT-ROOT TESTS 51Todoth
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2.5. PANEL UNIT-ROOT TESTS 53The te
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2.5. PANEL UNIT-ROOT TESTS 55Table
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2.5. PANEL UNIT-ROOT TESTS 59This i
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2.6. COINTEGRATION 63improving the
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2.6. COINTEGRATION 65in q t−1 bec
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2.7. FILTERING 67where a 21 = −
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2.7. FILTERING 69Now let ˜λ ∼ U
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2.7. FILTERING 71To summarize at th
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2.7. FILTERING 73of s(ω). That is
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2.7. FILTERING 75The Þlter has the
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2.7. FILTERING 77Properties of the
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Chapter 3The Monetary ModelThe mone
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3.1. PURCHASING-POWER PARITY 81US-U
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3.2. THE MONETARY MODEL OF THE BALA
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3.3. THE MONETARY MODEL UNDER FLEXI
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3.3. THE MONETARY MODEL UNDER FLEXI
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3.4. FUNDAMENTALS AND EXCHANGE RATE
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3.5. TESTING MONETARY MODEL PREDICT
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Chapter 4The Lucas ModelThe present
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4.1. THE BARTER ECONOMY 107capital
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4.1. THE BARTER ECONOMY 109The fore
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4.1. THE BARTER ECONOMY 111subject
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4.2. THE ONE-MONEY MONETARY ECONOMY
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4.3. THE TWO-MONEY MONETARY ECONOMY
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4.4. INTRODUCTION TO THE CALIBRATIO
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4.5. CALIBRATING THE LUCAS MODEL 12
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Chapter 5InternationalRealBusinessC
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5.1. CALIBRATING THE ONE-SECTOR GRO
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5.2. CALIBRATING A TWO-COUNTRY MODE
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Chapter 6Foreign Exchange MarketEff
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6.1. DEVIATIONS FROM UIP 163Hansen
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6.1. DEVIATIONS FROM UIP 165yen, an
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6.1. DEVIATIONS FROM UIP 167Hansen-
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6.1. DEVIATIONS FROM UIP 169Table 6
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6.1. DEVIATIONS FROM UIP 171A. US-U
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6.2. RATIONAL RISK PREMIA 173The in
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6.2. RATIONAL RISK PREMIA 175µ t+1
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6.3. TESTING EULER EQUATIONS 177Thi
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6.3. TESTING EULER EQUATIONS 179get
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6.3. TESTING EULER EQUATIONS 181The
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6.4. APPARENT VIOLATIONS OF RATIONA
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6.4. APPARENT VIOLATIONS OF RATIONA
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6.5. THE ‘PESO PROBLEM’ 187In
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6.5. THE ‘PESO PROBLEM’ 189on E
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6.5. THE ‘PESO PROBLEM’ 191The
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6.6. NOISE-TRADERS 19310.90.80.70.6
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6.6. NOISE-TRADERS 195and the forei
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6.6. NOISE-TRADERS 197The relevant
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6.6. NOISE-TRADERS 199ANoiseTrader(
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6.6. NOISE-TRADERS 201implied slope
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6.6. NOISE-TRADERS 203Problems1. (S
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6.6. NOISE-TRADERS 205and let ˆθ
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Chapter 7The Real Exchange RateIn t
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7.2. DEVIATIONS FROM THE LAW-OF-ONE
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7.2. DEVIATIONS FROM THE LAW-OF-ONE
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7.3. LONG-RUN DETERMINANTS OF THE R
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7.3. LONG-RUN DETERMINANTS OF THE R
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7.4. LONG-RUN ANALYSES OF REAL EXCH
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Chapter 8The Mundell-Fleming ModelM
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8.1. A STATIC MUNDELL-FLEMING MODEL
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8.2. DORNBUSCH’S DYNAMIC MUNDELL
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8.2. DORNBUSCH’S DYNAMIC MUNDELL
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8.3. A STOCHASTIC MUNDELL—FLEMING
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8.4. VAR ANALYSIS OF MUNDELL—FLEM
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Chapter 9The New InternationalMacro
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9.1. THE REDUX MODEL 265Home Countr
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9.1. THE REDUX MODEL 267c t (z ∗
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9.1. THE REDUX MODEL 269Table 9.1:
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9.1. THE REDUX MODEL 271consumption
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9.1. THE REDUX MODEL 273restrict th
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9.1. THE REDUX MODEL 275⇒where ĝ
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9.1. THE REDUX MODEL 277ŷ ∗ (z
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9.1. THE REDUX MODEL 27966)⇒ ˆbt
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9.1. THE REDUX MODEL 281money shock
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9.1. THE REDUX MODEL 283changes in
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9.1. THE REDUX MODEL 285and associa
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9.2. PRICING TO MARKET 287US Þrm i
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9.2. PRICING TO MARKET 289optimalit
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9.2. PRICING TO MARKET 291foreign m
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9.2. PRICING TO MARKET 293Table 9.2
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9.2. PRICING TO MARKET 295ˆv t (z)
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9.2. PRICING TO MARKET 297From the
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9.2. PRICING TO MARKET 299(9.155) a
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9.2. PRICING TO MARKET 301caused a
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9.2. PRICING TO MARKET 303New Inter
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9.2. PRICING TO MARKET 305(b) Consi
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Chapter 10Target-Zone ModelsThis ch
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10.1. FUNDAMENTALS OF STOCHASTIC CA
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10.2. THE CONTINUOUS—TIME MONETAR
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10.3. INFINITESIMAL MARGINAL INTERV
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10.4. DISCRETE INTERVENTION 319Tabl
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10.5. EVENTUAL COLLAPSE 3210.03s0.0
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10.6. IMPERFECT TARGET-ZONE CREDIBI
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10.6. IMPERFECT TARGET-ZONE CREDIBI
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Chapter 11Balance of Payments Crise
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11.1. A FIRST-GENERATION MODEL 329F
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11.1. A FIRST-GENERATION MODEL 331M
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11.1. A FIRST-GENERATION MODEL 333l
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11.2. A SECOND GENERATION MODEL 335
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Author IndexAAkaike, H., 27Andrews,
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AUTHOR INDEX 359Montiel, P.J., 229M
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SUBJECT INDEX 361CCalibration metho
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SUBJECT INDEX 363Hall’s general-t
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SUBJECT INDEX 365Overlapping observ
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SUBJECT INDEX 367Swap transactions,
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