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The Economics of Exchange Rates

Book Description

The studies in this book deal with the determination of foreign exchange rates and the characteristics of the foreign exchange market. Analysis is made of flexible exchange rates through an approach developed by the authors, called the ‘asset-market approach’. Theory is combined with practical application in a clear concise way that will be understood by readers with a basic understanding of economics.

Table of Contents

  1. Cover
  2. Half Title
  3. Title Page
  4. Copyright Page
  5. PREFACE
  6. CONTENTS
  7. Chapter 1 A MONETARY APPROACH TO THE EXCHANGE RATE: DOCTRINAL ASPECTS AND EMPIRICAL EVIDENCE
    1. Abstract
    2. Introduction
    3. I A Doctrinal Perspective to Exchange Rate Determination
    4. II Empirical Evidence: A Reexamination of the German Hyperinflation
    5. Appendix: Data Sources
  8. Chapter 2 THE THEORY OF FLEXIBLE EXCHANGE RATE REGIMES AND MACROECONOMIC POLICY
    1. Abstract
    2. I A General View of Exchange Rate Determinants
    3. II Short-Run Determination of Exchange Rates
    4. III Speculation, Macroeconomic Policies, and the Transmission of Disturbances
    5. IV Speculative Disturbances and Dual Exchange Rates
    6. Concluding Remarks
    7. Appendix
  9. Chapter 3 THE EXCHANGE RATE, THE BALANCE OF PAYMENTS, AND MONETARY AND FISCAL POLICY UNDER A REGIME OF CONTROLLED FLOATING
    1. Abstract
    2. Introduction
    3. I A Monetary Approach to Exchange Rate Theory
    4. II The Exchange Rate as the Relative Price of Two Monies
    5. III Expectations and Exchange Rates
    6. IV Real Causes and Effects
    7. V Policy Conflict and Policy Coordination
    8. Appendix
  10. Chapter 4 CONTRACTING AND SPURIOUS DEVIATIONS FROM PURCHASING-POWER PARITY
    1. I The Financial Market
    2. II Efficient Goods Market Behavior
    3. III Spurious Inefficiency in Markets for Internationally Traded Goods
  11. Chapter 5 RATIONAL EXPECTATIONS AND THE EXCHANGE RATE
    1. I Introduction
    2. II The Money Supply Process
    3. III The Real Income Process
    4. IV The Final Exchange Rate Equation
    5. V The Stability of the Exchange Rate
    6. VI The Term Structure of the Forward Premium
    7. VII Extensions
    8. VIII Empirical Tests of the Model
    9. IX An Alternative Formulation
    10. X Conclusion
  12. Chapter 6 AN EMPIRICAL ANALYSIS OF THE MONETARY APPROACH TO THE DETERMINATION OF THE EXCHANGE RATE
    1. I Introduction
    2. II Equilibrium Determination of the Exchange Rate
    3. III Tests with Variables in the Levels of Natural Logarithms
    4. IV Tests using Rates of Change of Variables
    5. V Conclusions
  13. Chapter 7 EXCHANGE RESTRICTIONS AND THE MONETARY APPROACH TO THE EXCHANGE RATE
    1. I Introduction
    2. II The Model
    3. III Empirical Results
    4. IV Summary
  14. Chapter 8 TESTS OF FORECASTING MODELS AND MARKET EFFICIENCY IN THE INTERNATIONAL MONEY MARKET
    1. I Introduction
    2. II Statistical Methods and Exchange-Rate Forecasting
    3. III Statistical Properties of Forecast Errors
    4. IV Forecasts and Risky Investment Opportunities
    5. V Summary and Conclusions
  15. Chapter 9 RISK, INFORMATION, AND FORWARD EXCHANGE RATES
    1. Introduction
    2. I Theoretical Analysis
    3. II Empirical Results
    4. III New Information in the Foreign Exchange Market
    5. IV Conclusions
  16. Chapter 10 A STOCK ADJUSTMENT APPROACH TO MONETARY POLICY AND THE BALANCE OF PAYMENTS
    1. I Introduction
    2. II The Theoretical Framework
    3. III Empirical Results
    4. IV Conclusions
  17. Chapter 11 DEVALUATION IN AN EMPIRICAL GENERAL EQUILIBRIUM MODEL
    1. I Introduction
    2. II Overview of the Model and Its Empirical Implementation
    3. III Devaluation Mechanisms
    4. IV Simulation Results
    5. V Concluding Comments
    6. Appendix
  18. Author Index