Foreign Exchange Market: Theory and Econometric Evidence

ISBN-13: 9780521396905 / Angielski / Miękka / 1990 / 276 str.

Richard Baillie; Patrick McMahon

Opis

This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It covers the theory of efficient markets as developed in finance, and the models used to explain the movements of exchange rates in macroeconomics. The authors deal with the econometric estimation and testing of different models and theories of the foreign exchange market and macro-economy.

Recenzje

"This well written and sophisticated book reviews the theoretical and empirical literature concerned with the determination of exchange rates." Herbert G. Grubel, Journal of Economic Literature

Spis treści

1. Historical development and institutions; 2. The theory of efficient markets; 3. Models of exchange rate behaviour; 4. Econometric methodology; 5. Expectation models; 6. Statistical properties of exchange rate series; 7. The forward rate as a predictor of the future spot rate; 8. Purchasing power and interest rate parity theories: empirical evidence; 9. Exchange rate forecasting and conclusions.