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Exchange Rate Economics

Exchange Rate Economics

Ronald MacDonald , Mark P. Taylor

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

Two volume set 1991 1184 pp Hardback 978 1 85278 409 6

Hardback £352.00 on-line price £316.80

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Series: The International Library of Critical Writings in Economics series






Description
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.

Contents
52 articles, dating from 1953 to 1990 Contributors: M. Dooley, G.W. Evans, D.L. Hoffman, J.A. Frenkel, W.S. Krasker, R.M. Levich, R. Roll, T.S. Torrance, J. Townsend, W.T. Woo Contents: Volume I: 1. Groundwork 2. Theories 3. Evidence 4. New Directions • Volume II: 1. Expectations and Market Efficiency 2. Rationalizing the Rejection of the Simple Efficiency Hypothesis 3. ‘News’ and the Exchange Rate 4. International Parity Conditions

Further information

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.

Full table of contents

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.





 
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