Exchange rate dynamics : a modern analysis of exchange rate theory and evidence

著者

• Pentecost, Eric J.

書誌事項

Exchange rate dynamics : a modern analysis of exchange rate theory and evidence

Eric J. Pentecost

E. Elgar Pub., 1993

• : hbk
• : pbk

注記

Includes bibliographical references (p. 199-214) and indexes

内容説明・目次

巻冊次

: hbk ISBN 9781852781385

内容説明

This important book provides an up-to-date assessment and survey of the most important recent theoretical and empirical work on exchange rates.Eric Pentecost examines the vast literature which has been produced since the mid-1970s by carefully developing the main theoretical models of exchange rate determination and assessing their empirical validity, drawing largely from recent econometric results based on the cointegration methodology. In addition to the monetary and portfolio balance models of the exchange rate and their predecessors, models of 'the news', speculative bubbles and risk premia are also considered. Very recent developments are reviewed in the final chapter and include the use of survey data on exchange rate expectations to test the rational expectations hypothesis, chartism, the use of chaos theory as a means of modelling exchange rate dynamics, and models of 'smooth-pasting'.

目次

• Part 1 Introduction: exchange and exchange ratios
• types exchange rate
• the relationship between spot and forward rates
• dynamics, equilibrium and stability
• outline of this book. Part 2 The classical monetary approach: the basic model
• the model with non-traded goods
• testing purchasing power parity. Part 3 The early Keynesian approaches: the elasticites approach
• the income-expenditure approach
• empirical evidence on price and income elasticities. Part 4 The modern monetary approaches: the modern monetary modesl
• the econometric evidence
• news and speculative bubbles. Part 5 The Mundell-Fleming approaches: the fixed-price Mundell Fleming model
• sticky-price models
• the econometric evidence. Part 6 The currency substitution approach: the instantaneous asset market adjustment models
• a model with slow asset market adjustment
• empirical evidence for cuency substitution. Part 7 The portfolio balance approach: a portfolio balance model
• the econometric evidence
• risk premia. Part 8 Recent and future directions for research: exchange rate expectations and survey data
• chaotic and non-linear dynamics
• new directions for structural models. Appendices.

巻冊次

: pbk ISBN 9781852789039

内容説明

Provides an assessment and survey of important recent theoretical and empirical works on exchange rates. The work examines the literature on the subject produced since the mid-1970s, by developing theoretical models and assessing them via econometric results arising from co-integration methodology.

目次

• The classical monetary approach
• the early Keynesian approaches
• the modern monetary approaches
• the Mundell-Fleming approaches
• the current substitution approach
• the portfolio balance approach
• recent and future directions for research.

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BA19834868
• ISBN:
  • 1852781386
  • 1852789034
• LCCN: 92028723
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Aldershot ; Brookfield Vt.
• ページ数/冊数: xiii, 224 p.
• 大きさ: 24 cm
• 分類:
  • LCC : HG3851
  • DC20 : 332.4/56
• 件名:
  • LCSH : Foreign exchange rates
  • LCSH : Foreign exchange rates -- Econometric models