Exchange Rate Dynamics
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Exchange Rate Dynamics
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Author : Martin D. D. Evans
language : en
Publisher: Princeton University Press
Release Date : 2011-03-14
Exchange Rate Dynamics written by Martin D. D. Evans and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-14 with Business & Economics categories.
A comprehensive and in-depth look at exchange-rate dynamics Variations in the foreign exchange market influence all aspects of the world economy, and understanding these dynamics is one of the great challenges of international economics. This book provides a new, comprehensive, and in-depth examination of the standard theories and latest research in exchange-rate economics. Covering a vast swath of theoretical and empirical work, the book explores established theories of exchange-rate determination using macroeconomic fundamentals, and presents unique microbased approaches that combine the insights of microstructure models with the macroeconomic forces driving currency trading. Macroeconomic models have long assumed that agents—households, firms, financial institutions, and central banks—all have the same information about the structure of the economy and therefore hold the same expectations and uncertainties regarding foreign currency returns. Microbased models, however, look at how heterogeneous information influences the trading decisions of agents and becomes embedded in exchange rates. Replicating key features of actual currency markets, these microbased models generate a rich array of empirical predictions concerning trading patterns and exchange-rate dynamics that are strongly supported by data. The models also show how changing macroeconomic conditions exert an influence on short-term exchange-rate dynamics via their impact on currency trading. Designed for graduate courses in international macroeconomics, international finance, and finance, and as a go-to reference for researchers in international economics, Exchange-Rate Dynamics guides readers through a range of literature on exchange-rate determination, offering fresh insights for further reading and research. Comprehensive and in-depth examination of the latest research in exchange-rate economics Outlines theoretical and empirical research across the spectrum of modeling approaches Presents new results on the importance of currency trading in exchange-rate determination Provides new perspectives on long-standing puzzles in exchange-rate economics End-of-chapter questions cement key ideas
Exchange Rate Theory And Practice
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Author : John F. Bilson
language : en
Publisher: University of Chicago Press
Release Date : 2007-12-01
Exchange Rate Theory And Practice written by John F. Bilson and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-01 with Business & Economics categories.
This volume grew out of a National Bureau of Economic Research conference on exchange rates held in Bellagio, Italy, in 1982. In it, the world's most respected international monetary economists discuss three significant new views on the economics of exchange rates - Rudiger Dornbusch's overshooting model, Jacob Frenkel's and Michael Mussa's asset market variants, and Pentti Kouri's current account/portfolio approach. Their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today, including those of the European Monetary System.
Exchange Rate Dynamics Redux
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Author : Maurice Obstfeld
language : en
Publisher:
Release Date : 1995
Exchange Rate Dynamics Redux written by Maurice Obstfeld and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Economics categories.
Empirical Evidence On The Efficiency Of Forward And Futures Foreign Exchange Markets
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Author : Robert J. Hodrick
language : en
Publisher: CRC Press
Release Date : 2023-08-18
Empirical Evidence On The Efficiency Of Forward And Futures Foreign Exchange Markets written by Robert J. Hodrick and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-08-18 with Mathematics categories.
This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Fiscal Policy And The Real Exchange Rate
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Author : Mr.Santanu Chatterjee
language : en
Publisher: International Monetary Fund
Release Date : 2012-02-01
Fiscal Policy And The Real Exchange Rate written by Mr.Santanu Chatterjee and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-02-01 with Business & Economics categories.
Government spending on infrastructure has recently increased sharply in many emerging-market economies. This paper examines the mechanism through which public infrastructure spending affects the dynamics of the real exchange rate. Using a two-sector dependent open economy model with intersectoral adjustment costs, we show that government spending generates a non-monotonic U-shaped adjustment path for the real exchange rate with sharp intertemporal trade-offs. The effect of government spending on the real exchange rate depends critically on (i) the composition of public spending, (ii) the underlying financing policy, (iii) the intensity of private capital in production, and (iv) the relative productivity of public infrastructure. In deriving these results, the model also identifies conditions under which the predictions of the neoclassical open economy model can be reconciled with empirical regularities, namely the intertemporal relationship between government spending, private consumption, and the real exchange rate.
Studies In Foreign Exchange Economics
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Author : Martin D D Evans
language : en
Publisher: World Scientific Publishing Company
Release Date : 2017-06-28
Studies In Foreign Exchange Economics written by Martin D D Evans and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-28 with Business & Economics categories.
This book collects my scholarly research on the behavior of foreign exchange rates conducted over the past twenty-five years. The collection includes papers that study the behavior of exchange rates from the traditional macroeconomic and newer microstructure perspectives. The former perspective considers the linkages between the macro economy and currency prices in an effort to understand the behavior of exchange rates over quarters, years and decades. By contrast, the microstructure perspective considers how the details of currency trading affect how macroeconomic information becomes embedded in currency prices, a process which drives exchange-rates over intraday horizons. The book also contains papers with a hybrid perspective that consider the details of currency trading and macroeconomic linkages in an effort to understand exchange-rate dynamics across all horizons.
Currencies Commodities And Consumption
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Author : Kenneth W. Clements
language : en
Publisher: Cambridge University Press
Release Date : 2013-01-31
Currencies Commodities And Consumption written by Kenneth W. Clements and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-31 with Business & Economics categories.
Discusses economic issues associated with exchange rates, commodity prices, the economic size of countries and alternatives to PPP exchange rates.
End User Order Flow And Exchange Rate Dynamics
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Author : Stefan Reitz
language : en
Publisher:
Release Date : 2016
End User Order Flow And Exchange Rate Dynamics written by Stefan Reitz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
In this paper we provide evidence for Evans and Lyons' (2005b) model of an information aggregation process in FX markets using a German bank's end-user order flow from 2002 to 2003. Though customer order flow is unambiguously the vehicle incorporating non-public information into exchange rates over time, our empirical analysis does not support the widespread optimism in the market microstructure literature that customer order flow is the high-powered source of information easily exploitable for short-run speculation. Moreover, commercial customers' order flow produces negative coefficients in contemporaneous return regressions, stressing their role as liquidity providers.
The Econometric Analysis Of Recurrent Events In Macroeconomics And Finance
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Author : Don Harding
language : en
Publisher: Princeton University Press
Release Date : 2016-07-26
The Econometric Analysis Of Recurrent Events In Macroeconomics And Finance written by Don Harding and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-26 with Business & Economics categories.
The global financial crisis highlighted the impact on macroeconomic outcomes of recurrent events like business and financial cycles, highs and lows in volatility, and crashes and recessions. At the most basic level, such recurrent events can be summarized using binary indicators showing if the event will occur or not. These indicators are constructed either directly from data or indirectly through models. Because they are constructed, they have different properties than those arising in microeconometrics, and how one is to use them depends a lot on the method of construction. This book presents the econometric methods necessary for the successful modeling of recurrent events, providing valuable insights for policymakers, empirical researchers, and theorists. It explains why it is inherently difficult to forecast the onset of a recession in a way that provides useful guidance for active stabilization policy, with the consequence that policymakers should place more emphasis on making the economy robust to recessions. The book offers a range of econometric tools and techniques that researchers can use to measure recurrent events, summarize their properties, and evaluate how effectively economic and statistical models capture them. These methods also offer insights for developing models that are consistent with observed financial and real cycles. This book is an essential resource for students, academics, and researchers at central banks and institutions such as the International Monetary Fund.
Exchange Rate Economics
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Author : Ronald MacDonald
language : en
Publisher: Routledge
Release Date : 2005
Exchange Rate Economics written by Ronald MacDonald and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Foreign exchange categories.
''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""