Exchange rate economics : selected essays
著者
書誌事項
Exchange rate economics : selected essays
E. Elgar, c2009
大学図書館所蔵 全7件
  青森
  岩手
  宮城
  秋田
  山形
  福島
  茨城
  栃木
  群馬
  埼玉
  千葉
  東京
  神奈川
  新潟
  富山
  石川
  福井
  山梨
  長野
  岐阜
  静岡
  愛知
  三重
  滋賀
  京都
  大阪
  兵庫
  奈良
  和歌山
  鳥取
  島根
  岡山
  広島
  山口
  徳島
  香川
  愛媛
  高知
  福岡
  佐賀
  長崎
  熊本
  大分
  宮崎
  鹿児島
  沖縄
  韓国
  中国
  タイ
  イギリス
  ドイツ
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  オランダ
  スウェーデン
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注記
Includes bibliographical references
内容説明・目次
内容説明
This authoritative book comprises key papers written on exchange rate economics by the eminent scholar Ronald MacDonald.Each of the highly focused chapters discusses the important issues that his research has pursued in this area. The papers are organised under four headings: monetary fundamentals and exchange rate forecasting; equilibrium exchange rate; expectations formation news and risk; and the economics of fixed exchange rates and credibility issues. Among the key findings, Ronald MacDonald concludes that it is possible to successfully forecast currencies in an out of sample context using macroeconomic fundamentals. Additionally, from a practitioner's perspective, well-founded and useful measures of an equilibrium exchange rate can be calculated once violations of the purchasing power parity concept are recognised.
This essential book contains a number of academic orientated papers that postgraduate students and academics will find invaluable for their research. Practitioners in the financial sector will also be extremely interested in the chapters on exchange rate forecasting and issues relating to equilibrium exchange rates.
目次
Contents:
Introduction
PART I: MONETARY FUNDAMENTALS AND EXCHANGE RATE FORECASTING
1. 'Exchange Rate Behaviour: Are Fundamentals Important?' Economic Journal, 109 (459), 1999, F673-F691
2. 'The Monetary Model of the Exchange Rate: Long-run Relationships, Short-run Dynamics and How to Beat a Random Walk', with M.P. Taylor, Journal of International Money and Finance, 13 (3), 1994, 276-90
3. 'On Fundamentals and Exchange Rates: A Casselian Perspective', with I.W. Marsh, Review of Economics and Statistics, 79 (4), 1997, 655-64
4. 'Monetary-based Models of the Exchange Rate: A Panel Perspective', with S. Husted, Journal of International Financial Markets, Institutions and Money, 8 (1), 1998, 1-19
5. 'Modeling the ECU Against the U.S. Dollar: A Structural Monetary Interpretation', with L. La Cour, Journal of Business Economics and Statistics, 18 (4), 2000, 436-50
6. 'Currency Spillovers and Tri-polarity: A Simultaneous Model of the US Dollar, German Mark and Japanese Yen', with I.W. Marsh, Journal of International Money and Finance, 23 (1), 2004, 99-111
7. 'Markov Switching Regimes in a Monetary Exchange Rate Model', with M. Froemmel and L. Menkhoff, Economic Modelling, 22 (3), 2005, 485-502
PART II: EQUILIBRIUM EXCHANGE RATES: PURCHASING POWER PARITY AND THE REAL EXCHANGE RATE
8. 'Long-run Purchasing Power Parity: Is it for Real?', Review of Economics and Statistics, 75 (4), 1993, 690-95
9. 'Panel Unit Root Tests and Real Exchange Rates', Economics Letters, 50 (1), 1996, 7-11
10. 'International Parity Relationships Between the USA and Japan', with K. Juselius, Japan and the World Economy, 16 (1), 2004, 17-34
11. 'Filtering the BEER: A Permanent and Transitory Decomposition', with P.B. Clark, Global Finance Journal, 15 (1), 2004, 29-56
12. 'The Real Exchange Rate and the Balassa-Samuel Effect: The Role of the Distributional Sector', with L.A. Ricci, Pacific Economic Review, 10 (1) 2005, 29-48
13. 'Real Exchange Rates, Imperfect Substitutability, and Imperfect Competition', with L.A. Ricci, Journal of Macroeconomics, 29 (4) 2007, 639-64
PART III: EXPECTATIONS FORMATION, NEWS AND RISK
14. 'GBPM3 Surprises and Asset Prices', with T.S. Torrance, Economica, 54 (216), 1987, 505-15
15. 'Expectations Formation and Risk in Four Foreign Exchange Markets' with T.S. Torrance, Oxford Economic Papers, 42 (3), 1990, 544-61
16. 'Combining Exchange Rate Forecasts: What is the Optimal Consensus Measure?' with I.W. Marsh, Journal of Forecasting, 13, 1994, 313-32
17. 'Currency Forecasters are Heterogeneous: Confirmation and Consequences', with I.W. Marsh, Journal of International Money and Finance, 15 (5) 1996, 665-85
18. 'Models of Exchange Rate Expectations: How Much Heterogeneity?', with A. Benassy-Quere and S. Larribeau, Journal of International Financial Markets, Institutions and Money, 13 (2) 2003, 113-36
PART IV: THE ECONOMICS OF FIXED EXCHANGE RATES AND CREDIBILITY ISSUES
19. 'On the Mean-reverting Properties of Target Zone Exchange Rates: Some Evidence from the ERM', with M. Anthony, European Economic Review, 42 (8) 1998, 1493-523
20. 'Crash! Expectational Aspects of the Departures of the United Kingdom and the United States from the Inter-war Gold Standard', with C.P. Hallwood and I.W. Marsh, Explorations in Economic History, 34 (2) 1997, 174-94
21. 'Realignment Expectations and the US Dollar, 1890-1897: Was There a "Peso Problem"?' with C.P. Hallwood and I.W. Marsh, Journal of Monetary Economics, 46 (3) 2000, 605-20
22. 'Interest Rate Interactions in the Classical Gold Standard, 1880-1914: Was There Any Monetary Independence?', with M.D. Bordo, Journal of Monetary Economics, 52 (2) 2005, 307-27
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