Empirical Modeling of Exchange Rate Dynamics - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Empirical Modeling of Exchange Rate Dynamics write by Francis X. Diebold. This book was released on 2012-12-06. Empirical Modeling of Exchange Rate Dynamics available in PDF, EPUB and Kindle. Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.
Exchange-Rate Dynamics
Exchange-Rate Dynamics - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Exchange-Rate Dynamics write by Martin D. D. Evans. This book was released on 2011-03-14. Exchange-Rate Dynamics available in PDF, EPUB and Kindle. 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
The Monetary Approach to the Balance of Payments
The Monetary Approach to the Balance of Payments - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook The Monetary Approach to the Balance of Payments write by Jacob Frenkel. This book was released on 2013-07-18. The Monetary Approach to the Balance of Payments available in PDF, EPUB and Kindle. This book collects together the basic documents of an approach to the theory and policy of the balance of payments developed in the 1970s. The approach marked a return to the historical traditions of international monetary theory after some thirty years of departure from them – a departure occasioned by the international collapse of the 1930s, the Keynesian Revolution and a long period of war and post-war reconstruction in which the international monetary system was fragmented by exchange controls, currency inconvertibility and controls over international trade and capital movements.
Exchange Rate Theory and Practice
Exchange Rate Theory and Practice - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Exchange Rate Theory and Practice write by John F. Bilson. This book was released on 2007-12-01. Exchange Rate Theory and Practice available in PDF, EPUB and Kindle. 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
Exchange Rate Dynamics - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Exchange Rate Dynamics write by Eric J. Pentecost. This book was released on 1993. Exchange Rate Dynamics available in PDF, EPUB and Kindle. This work examines the development of the determinants of the exchange rate system since the mid-1970s. It scrutinises the main theoretical models of exchange rate determination and assesses their empirical validity drawn from recent econometric results (based on cointegration methodology).
