Exchange Rate Modelling

1999
ISBN: 978-1-4419-5113-7
Verlag: Springer US

Buch, Englisch, 222 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 371 g

Reihe: Advanced Studies in Theoretical and Applied Econometrics

Are foreign exchange markets efficient? Are fundamentals important for predicting exchange rate movements? What is the signal-to-ratio of high frequency exchange rate changes? Is it possible to define a measure of the equilibrium exchange rate that is useful from an assessment perspective?
The book is a selective survey of current thinking on key topics in exchange rate economics, supplemented throughout by new empirical evidence. The focus is on the use of advanced econometric tools to find answers to these and other questions which are important to practitioners, policy-makers and academic economists. In addition, the book addresses more technical econometric considerations such as the importance of the choice between single-equation and system-wide approaches to modelling the exchange rate, and the reduced form versus structural equation problems.
Readers will gain both a comprehensive overview of the way macroeconomists approach exchange rate modelling, and an understanding of how advanced techniques can help them explain and predict the behavior of this crucial economic variable.

Zielgruppe

Research

Autoren/Hrsg.

Marsh, Ian

MacDonald, Ronald

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Entwicklungsökonomie & Emerging Markets
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Geldwirtschaft, Währungspolitik
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationaler Handel
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Makroökonomie

Inhaltsverzeichnis

1. Introduction.- 2. Spot and Forward Market Relationship.- 3. Purchasing Power Parity: Long and Short Run Testing.- 4. The Monetary Approach to Exchange Rate Modelling.- 5. Modelling Departures from Purchasing Power Parity.- 6. High Frequency Exchange Rate Modelling.- 7. Long-Run Econometric Modelling of Exchange Rates.- 8. Conclusion.- Index of authors.- Index of subjects.