EXCHANGE RATES ECONOMICS DEGRAUWE P. Księgarnia

Recent theoretical developments in exchange rate economics have led to important new insights into the functioning of the foreign exchange market. The simple models of the 1970s, which could not withstand empirical evaluation, have been succeeded by more complex models that draw on theoretical work in such areas as the microstructure of financial markets and open economy macroeconomics. Additionally, new and powerful econometric techniques allow researchers to subject exchange rates to stronger empirical analysis.

This book discusses the divergent theoretical and empirical paradigms used today for setting and predicting exchange rates; the chapters reflect current debates in the field. Some chapters base their analyses on the theoretical framework of representative and fully informed rational agents; others are grounded in the hetereogeneity of agents who use different and incomplete sets of information. Still other chapters analyze empirical data to uncover the fundamental characteristics of exchange rates. Taken together, these competing analyses document the current state of exchange rate economics and point the way to a new consensus about how to predict and explain exchange rate movements.

Table of Contents

Paul De Grauwe is Professor in the faculty of Economics and Applied Economics at Katholieke Universiteit Leuven, Belgium, and research coordinator for international money and finance at CESifo.

Are Different-Currency Assets Imperfect Substitutes?
Martin D. D. Evans and Richard K. Lyons

Volume and Volatility in the Foreign Exchange Market: Does It Matter Who You Are?
Geir H. Bjonnes, Dagfinn Rime and Haakon O. Aa. Solheim

A Neoclassical Explanation of Nominal Exchange Rate Volatility
Michael J. Moore and Maurice J. Roche

Real Exchange Rates and Nonlinearities
Mark P. Taylor

Heterogeneity of Agents and the Exchange Rate: A Nonlinear Approach
Paul De Grauwe and Marianna Grimaldi

Dynamics of Endogenous Business Cycles and Exchange Rate Volatility
Volker Bohm and Tomoo Kikuchi

The Euro, Eastern Europe, and Black Markets: The Currency Hypothesis
Hans-Werner Sinn and Frank Westermann

What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated
Yin-Wong Cheung, Menzie D. Chinn and Antonio Garcia Pascual

The Euro-Dollar Exchange Rate: Is It Fundamental?
Mariam Camarero, Javier Ordónez and Cecilio Tamarit

Dusting off the Perception of Risk and Returns in FOREX Markets
Phornchanok J. Cumperayot

Index

352 pages

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