This important reference collection presents the leading papers on theoretical and empirical modelling of exchange rates. Volume I: Exchange Rate Determination: Theory and Evidence, consists of four sections. Section 1 contains 'groundwork' papers; these are essentially survey papers, which set the scene for much of the theoretical and empirical work presented in the volumes. Seminal papers relating to the theoretical determination of exchange rates are contained in Section 2, whilst the empirical evidence on such models is contained in Section 3. Volume I closes with a number of papers indicating the likely future development of research on the exchange rates.
The papers in Volume II: Foreign Exchange Market Efficiency, are again grouped into four sections. The key papers from the efficiency of foreign exchange markets are presented in Section 1, with papers which seek to explain the oft-quoted finding of market inefficiency grouped in Section 2. Papers which seek to model the influence of new information on the exchange rate are contained in Section 3. The final section of the book contains papers on key international parity conditions, which are so central to exchange rate economics.
As an introduction to both volumes, the editors have prepared a comprehensive literature survey. This survey places the papers contained in the volumes in the context of the exchange rate literature.
Volume One
Introduction
Part I: Groundwork
M. Friedman (1953), 'The Case for Flexible Exchange Rates'
R.A. Mundell (1963), 'Capital Mobility and Stabilization Policy Under Fixed
and Flexible Exchange Rates'
M. Mussa (1979), 'Empirical Regularities in the Behavior of Exchange Rates
and Theories of the Foreign Exchange Market'
J.A. Frenkel (1981), 'Flexible Exchange Rates, Prices, and the Role of
News": Lesson from the 1970s'
Part II: Theories
J.A. Frenkel (1976), 'A Monetary Approach to the Exchange Rate: Doctrinal
Aspects and Empircial Evidence'
M. Mussa (1976), 'The Exchange Rate, the Balance of Payments in the Short Run
and in the Long Run: a Monetary Approach'
P.J.K. Kouri (1976), 'The Exchange Rate and the Balance of Payments and
Monetary and Fiscal Policy undera Regime of Controlled Floating'
R. Dornbusch (1976), 'Expectations and Exchange Rate Dynamics'
W.H. Buiter and M. Miller (1981), 'Monetary Policy and International
Competiveness: The Problems of
Adjustment'
G.A. Calvo and C.A. Rodriguez (1977), 'A Model of Exchange Rate Determination
under Currency Substitution and Rational
Expectations'
W.H. Branson (1977), 'Asset Markets and Relative Prices in Exchange Rate
Determination'
R. Dornbusch and S. Fischer (1980), 'Exchange Rates and the Current Account'
R.J. Hodrick (1978), 'An Empirical Analysis of the Monetary Approach to the
Determination of the Exchange Rate'
Part III: Evidence
D.L Hoffman and D.E. Schlagenhauf (1983), 'Rational Expectations and Monetary
Models of Exchange Rate Determination: An Empirical
Examination'
J.A. Frankel (1979), 'On the Mark: A Theory of Floating Exchange Rates Based
on Real Interest Differentials'
P. Hooper and J. Morton (1982) 'Fluctuations in the Dollar: A Model of
Nominal and Real Exchange Rate Determination'
M. Dooley and P. Isard (1982), 'A Portfolio-Balance Rational-Expectations
Model of the Dollar-Mark Exchange Rate'
G. Hacche and J. Townend (1981), 'Exchange Rates and Monetary Policy:
Modelling Sterling's Effective Exchange Rate'
J.A. Frankel (1984), 'Tests of Monetary and Portfolio Balance Models of
Exchange Rate Determination'
R.A. Meese and K. Rogoff (1983), 'Empirical Exchange Rate Models of the
Seventies: Do They Fit out of Sample?'
W.T. Woo (1985), The Monetary Approach to Exchange Rate Determination under
Rational Expectations
M.G. Finn (1986), 'Forecasting the Exchange Rate: A Monetary or Random Walk
Phenomenon?'
Part IV: New Directions
R. Dornbusch (1987), 'Exchange Rate Economics: 1986'
J.A. Frankel and K.A. Froot (1986), 'Understanding the US Dollar in the
Eighties: The Expectations of Chartists and Fundamentalists'
H. Allen and M.P. Taylor (1990), 'Charts, Noise and Fundamentals in the
London Foreign Exchange Market'
M.P. Dooley and P. Isard (1987), 'Country Preferences, Currency Values and
Policy Issues'
Name Index.
Volume Two
Part I: Expectations and Market Efficiency
M.P. Dooley and J.R. Shafer (1983), 'Analysis of Short-Run Exchange Rate
Behavior: March 1973 to November 1981'
J.F.O. Bilson (1981), 'The "Specualative Efficiency" Hypothesis'
L.P. Hansen and R.J. Hodrick (1980), 'Forward Exchange Rates as Optimal
Predictors of Future Spot Rates: An Econometric Analysis'
C.S. Hakkio (1981), 'Expectations and the Forward Exchange Rate'
R.A. Meese (1986), 'Testing for Bubbles in Exchange Markets: A Case of
Sparkling Rates?'
J.A. Frankel and K.A. Froot (1987), 'Using Survey Data to Test Standard
Propositions Regarding Exchange Rate Expectations'
R. MacDonald and T.S. Torrance (1990), 'Expectations Formations and Risk in
Four Foreign Exchange Markets'
Part II: Rationalizing the Rejection of the Simple Efficiency Hypothesis
E.F. Fama (1984), 'Forward and Spot Exchange Rates'
J.A. Frankel (1982), 'In Search of the Exchange Risk Premium: A Six-Currency
Test Assuming Mean-Variance Optimization'
I. Domowitz and C.S. Hakkio (1985), 'Conditional Variance and the Risk
Premium in the Foreign Exchange Market'
W.S. Krasker (1980), 'The "Peso Problem" in Testing the Efficiency of
Foreward Exchange Markets'
G.W. Evans (1986), 'A Test for Speculative Bubbles in the Sterling-Dollar
Exchange Rate: 1981-4'
Part III: 'News' and the Exchange Rate
S. Edwards (1982), 'Exchanage Rates and "News": A Multi-Currency Approach
E.J. Bomhoff and P. Korteweg (1983), 'Exchange Rate Variability and Monetary
Policy Under Rational Expectations: Some Euro-American
Experience 1973-1979'
L.S. Copeland (1984), 'Oil News and the Petropound: Some Tests'
R. MacDonald (1985), '"News" and the 1920's Experience with Floating Exchange
Rates'
Part IV: International Parity Conditions
J.A. Frenkel (1978), 'Purchasing Power Parity: Doctrinal Perspective and
Evidence from the 1920s'
M. Adler and B. Lehmann (1983), 'Deviations from Purchasing Power Parity in
the Long Run'
R. Roll (1979), 'Violations of Purchasing Power Parity and their Implications
for Efficient International Commodity Markets'
M.P. Taylor and P.C. McMahon (1988), 'Long-Run Purchasing Power Parity in the
1920s'
J.A. Frenkel and R.M. Levich (1975), 'Covered Interest Arbitrage: Unexploited
Profits?'
J.A. Frenkel and R.M. Levich (1977), 'Transaction Costs and Interest
Arbitrage: Tranquil Versus Turbulent Periods'
M.P. Taylor (1989), 'Covered Interest Arbitrage and Market Tuburlence'
M.P. Dooley and P. Isard (1980), 'Capital Controls, Political Risk, and
Deviations from Interest-Rate Parity'
J.A. Frankel and A.T. MacArthur (1988), 'Political vs. Currency Premia in
International Real Interest Differentials: A Study of Forword
Rates for 24 Countries'
R.E. Cumby and M. Obstfield (1981), 'A Note on Exchange-Rate Expectations and
Nominal Interest Differentials: A Test of the Fisher
Hypothesis'
Name Index.
Edited by Ronald MacDonald, Adam Smith Professor of Political Economy, University of Glasgow, UK and Mark P. Taylor, Dean and Professor of Finance, Warwick Business School, University of Warwick, UK
Daugiau apie elektronines knygas