James / Marsh / Sarno Handbook of Exchange Rates

1. Auflage 2012
ISBN: 978-1-118-44575-4
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 856 Seiten, E-Book

Reihe: Wiley Handbooks in Financial Engineering and Econometrics

Praise for Handbook of Exchange Rates
"This book is remarkable. I expect it to become theanchor reference for people working in the foreign exchangefield."
--Richard K. Lyons, Dean and Professor of Finance,Haas School of Business, University of CaliforniaBerkeley
"It is quite easily the most wide ranging treaty ofexpertise on the forex market I have ever come across. I will bekeeping a copy close to my fingertips."
--Jim O'Neill, Chairman, Goldman Sachs AssetManagement
How should we evaluate the forecasting power of models? What areappropriate loss functions for major market participants? Is theexchange rate the only means of adjustment? Handbook of ExchangeRates answers these questions and many more, equipping readerswith the relevant concepts and policies for working intoday's international economic climate.
Featuring contributions written by leading specialists from theglobal financial arena, this handbook provides a collection oforiginal ideas on foreign exchange (FX) rates in four succinctsections:
* Overview introduces the history of the FX marketand exchange rate regimes, discussing key instruments in thetrading environment as well as macro and micro approaches to FXdetermination.
* Exchange Rate Models and Methods focuses onforecasting exchange rates, featuring methodological contributionson the statistical methods for evaluating forecast performance,parity relationships, fair value models, and flow-basedmodels.
* FX Markets and Products outlines active currencymanagement, currency hedging, hedge accounting; high frequency andalgorithmic trading in FX; and FX strategy-based products.
* FX Markets and Policy explores the currentpolicies in place in global markets and presents a framework foranalyzing financial crises.
Throughout the book, topics are explored in-depth alongsidetheir founding principles. Each chapter uses real-world examplesfrom the financial industry and concludes with a summary thatoutlines key points and concepts.
Handbook of Exchange Rates is an essential reference forfund managers and investors as well as practitioners andresearchers working in finance, banking, business, andeconometrics. The book also serves as a valuable supplement forcourses on economics, business, and international finance at theupper-undergraduate and graduate levels.

Autoren/Hrsg.

James, Jessica

Marsh, Ian

Sarno, Lucio

Inhaltsverzeichnis

Part I. Overview
1. Foreign Exchange Market Structure, Players and Evolution 1
2. Macro Approaches to Foreign Exchange Determination 49
3. Micro Approaches to Foreign Exchange Determination 79
4. The Exchange Rate in a Behavioural Finance Framework 119
5. The Evolution of Exchange Rate Regimes and Some Future Perspective 145
Part II. Exchange Rate Models and Methods
6. Purchasing Power Parity in Economic History 175
7. Purchasing Power Parity in Tradable Goods 203
8. Statistical and Economic Methods for Evaluating Exchange Rate Predictability 239
9. When Are Pooled Panel-Data Regression Forecasts of Exchange Rates More Accurate than the Time-Series Regression Forecasts? 283
10. Carry Trades and Risk 301
11. Currency Fair Value Models 335
12. Technical Analysis in the Foreign Exchange Market 369
13. Modeling Exchange Rates with Incomplete Information 403
14. Exchange Rates in a Stochastic Discount Factor Framework 421
15. Volatility and Correlation Timing in Active Currency Management 453
Part III. FX Markets and Products
16. Is There a Premium for Currency Investing (Beta) 485
17. Is There Skill or Alpha in Currency Investing? 509
18. Currency Hedging for International Bond and Equity Investors 539
19. FX Reserve Management 577
20. High frequency finance: Using scaling laws to build trading models 597
21. Algorithmic Execution in Foreign Exchange 621
22. Foreign Exchange Strategy Based Products 635
23. Foreign exchange futures, forwards and swaps 661
24. Options and Volatility Derivatives 687
Part IV. FX Markets and Policy
25. A Common Framework for Thinking about Currency Crises 741
26. Official Intervention in the Foreign Exchange Market 763
27. Exchange Rate Misalignment - The Case of the Chinese Renminbi 797

Über Autor(innen)

JESSICA JAMES, PhD, is a Managing Director and Co-Head ofthe Quantitative Solution Team at Commerzbank in London, where sheis responsible for FX client risk advisory. She has published onthe topics of credit derivatives and total return swaps and is thecoauthor of Interest Rate Modelling (Wiley).
IAN W. MARSH, PhD, is Professor of Finance in the CassBusiness School at City University London. Dr. Marsh has extensiveconsulting experience with companies including JPMorgan Chase,Morley Fund Managment, and the Royal Bank of Scotland. He currentlyfocuses his research on credit risk transfer markets and theforeign exchange market.
LUCIO SARNO, PhD, is Associate Dean, Head of Faculty, andProfessor of Finance in the Cass Business School at City UniversityLondon. Dr. Sarno has extensive industry experience in consultingand trading foreign exchange for several major asset managementcompanies and has contributed to policy, training, and research forthe International Monetary Fund, the European Central Bank, and theWorld Bank.