The economics of exchange rates

The purpose of this course is to overview the literature in 5 key areas of the Economics of Exchange Rates. The areas are: Exchange rate regimes issues; purchasing power parity and the PPP puzzle; nominal exchange modelling; real exchange rate modelling; the new open economy macroeconomics and exchange rate behaviour; the economics of fixed exchange rates – speculative attack models and the target zone literature. I take an approach which is supportive of a macro-basedfundamentals view of the exchange rate determination process.

[1]  Robert A. Mundell.  Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates , 1963 .

[2]  William Poole,et al.  Speculative Prices as Random Walks: An Analysis of Ten Time Series of Flexible Exchange Rates , 1967 .

[3]  W. Branson.  The Minimum Covered Interest Differential Needed for International Arbitrage Activity , 1969, Journal of Political Economy.

[4]  Henry J Gailliot,et al.  Purchasing Power Parity as an Explanation of Long-Term Changes in Exchange Rates , 1970 .

[5]  J. McCulloch,et al.  Operational Aspects of the Siegel Paradox , 1975 .

[6]  Transaction Costs and Interest Arbitrage : Tranquil Versus Turbulent Periods , 1976 .

[7]  R. Dornbusch.  Expectations and Exchange Rate Dynamics , 1976, Journal of Political Economy.

[8]  J. Frenkel.  A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence , 1976 .

[9]  Lawrence H. Officer,et al.  The Purchasing-Power-Parity Theory of Exchange Rates: A Review Article , 1976 .

[10]  J. Frenkel.  Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920s , 1978 .

[11]  S. Goodman.  Foreign Exchange Rate Forecasting Techniques: Implications for Business and Policy , 1979 .

[12]  Richard M. Levich.  Analyzing the Accuracy of Foreign Exchange Advisory Services: Theory Andevidence , 1979 .

[13]  Jeffrey A. Frankel,et al.  On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials , 1979 .

[14]  Alan C. Stockman.  A Theory of Exchange Rate Determination , 1980, Journal of Political Economy.

[15]  M. Dooley,et al.  Capital Controls, Political Risk, and Deviations from Interest-Rate Parity , 1980, Journal of Political Economy.

[16]  Craig S. Hakkio.  Expectations and the Forward Exchange Rate , 1981 .

[17]  L. Hansen,et al.  Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis , 1980, Journal of Political Economy.

[18]  Robert A. Driskill.  Exchange-Rate Dynamics: An Empirical Investigation , 1981, Journal of Political Economy.

[19]  Peter Hooper,et al.  Fluctuations in the dollar: a model of nominal and real exchange rate determination , 1982 .

[20]  M. Dooley,et al.  A portfolio-balance rational-expectations model of the dollar-mark exchange rate , 1982 .

[21]  M. Obstfeld.  Exchange Rates, Inflation and the Sterilization Problem: Germany, 1975-1981 , 1983 .

[22]  S. Edwards.  Exchange rates and `news': A multi-currency approach , 1982 .

[23]  Robert E. Lucas,et al.  Interest rates and currency prices in a two-country world , 1982 .

[24]  Kenneth Rogoff,et al.  Empirical exchange rate models of the seventies , 1983 .

[25]  M. Obstfeld,et al.  Exchange-Rate Dynamics , 1983 .

[26]  Bruce N. Lehmann,et al.  Deviations from Purchasing Power Parity in the Long Run , 1983 .

[27]  Kenneth S. Rogoff,et al.  On the effects of sterilized intervention: An analysis of weekly data , 1984 .

[28]  C. Engel.  Testing for the absence of expected real profits from forward market speculation , 1984 .

[29]  E. Fama,et al.  Forward and spot exchange rates , 1984 .

[30]  D. Backus.  Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff , 1984 .

[31]  Craig S. Hakkio,et al.  Conditional variance and the risk premium in the foreign exchange market , 1985 .

[32]  Deborah J. Danker,et al.  Small empirical models of exchange market intervention : applications to Germany, Japan, and Canada , 1987 .

[33]  R. Meese.  Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates? , 1986, Journal of Political Economy.

[34]  Rudiger Dornbusch,et al.  The Flexible Exchange Rate System: Experience and Alternatives , 1987 .

[35]  Kenneth A. Froot,et al.  Short-Term and Long-Term Expectations of the Yen/Dollar Exchange Rate: Evidence from Survey Data , 1987 .

[36]  Mark P. Taylor,et al.  Covered Interest Parity: A High-Frequency, High-Quality Data Study , 1987 .

[37]  David A. Hsieh,et al.  The statistical properties of daily foreign exchange rates: 1974–1983 , 1988 .

[38]  Mark P. Taylor,et al.  Long-run purchasing power parity in the 1920s , 1988 .

[39]  Jeffrey A. Frankel,et al.  Forward Discount Bias: Is it an Exchange Risk Premium? , 1988 .

[40]  Takatoshi Ito.  Foreign Exchange Rate Expectations: Micro Survey Data , 1988 .

[41]  P. Krugman,et al.  Target Zones and Exchange Rate Dynamics , 1991 .

[42]  Charles Goodhart,et al.  The Foreign Exchange Market: A Random Walk with a Dragging Anchor , 1988 .

[43]  Takatoshi Ito,et al.  Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market , 1988 .

[44]  K. Lewis.  Testing the portfolio balance model: A multi-lateral approach , 1988 .

[45]  Kenneth A. Froot,et al.  Chartists, Fundamentalists, and Trading in the Foreign Exchange Market , 1989 .

[46]  R. Marston.  Real and nominal exchange rate variability , 1989 .

[47]  R. Mcnown,et al.  National price levels, purchasing power parity, and cointegration: a test of four high inflation economies , 1989 .

[48]  Mark P. Taylor,et al.  Covered Interest Arbitrage and Market Turbulence , 1989 .

[49]  伊藤 隆敏,et al.  Foreign exchange rate expectations: Micro survey data , 1989 .

[50]  Robert P. Flood,et al.  The Linkage between Speculative Attack and Target Zone Models of Exchange Rates , 1989, SSRN Electronic Journal.

[51]  K. Koedijk,et al.  How to beat the random walk: an empirical model of real exchange rates , 1990 .

[52]  Shinji Takagi,et al.  Exchange Rate Expectations: A Survey of Survey Studies , 1990, SSRN Electronic Journal.

[53]  Mark P. Taylor,et al.  Charts, Noise and Fundamentals in the London Foreign Exchange Market , 1990 .

[54]  Richard H. Thaler,et al.  Anomalies: Foreign Exchange , 1990 .

[55]  R. Meese,et al.  Nonlinear, Nonparametric, Nonessential Exchange Rate Estimation , 1990 .

[56]  James D. Hamilton,et al.  Long Swings in the Dollar: Are They in the Data and Do Markets Know It? The American Economic Review , 1990 .

[57]  Robert P. Flood,et al.  An Empirical Exploration of Exchange Rate Target-Zones , 1990, SSRN Electronic Journal.

[58]  F. Diebold,et al.  Real Exchange Rates under the Gold Standard , 1991, Journal of Political Economy.

[59]  Richard M. Levich,et al.  The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: a Bootstrap Approach , 1991 .

[60]  Kenneth A. Froot,et al.  Chartists, Fundamentalists and the Demand for Dollars , 1991 .

[61]  Mark P. Taylor,et al.  Exchange Rate Economics: A Survey , 1991, SSRN Electronic Journal.

[62]  Charles L Adams,et al.  Real and Nominal Exchange Rates in the Long Run , 1991, SSRN Electronic Journal.

[63]  Mark P. Taylor,et al.  The use of technical analysis in the foreign exchange market , 1992 .

[64]  N. Roubini,et al.  Liquidity and exchange rates , 1992 .

[65]  A. Throop.  A generalized uncovered interest parity model of real exchange rates , 1992 .

[66]  Lars E.O. Svensson,et al.  An Interpretation of Recent Research on Exchange Rate Target Zones , 1992 .

[67]  C. G. Vries.  Book Review: P. Krugman and M. Miller (eds), Exchange rate targets and currency bands , 1992 .

[68]  B. Mccallum,et al.  A Reconsideration of the Uncovered Interest Parity Relationship , 1992 .

[69]  M. Embrechts,et al.  Exchange Rate Theory: Chaotic Models of Foreign Exchange Markets , 1993 .

[70]  Hali J. Edison,et al.  A re-assessment of the relationship between real exchange rates and real interest rates: 1974–1990 , 1993 .