Exchange Rate Modelling

  • Ronald MacDonald
  • Ian Marsh

Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA, volume 37)

Table of contents

  1. Front Matter
    Pages i-xii
  2. Ronald MacDonald, Ian Marsh
    Pages 1-7
  3. Ronald MacDonald, Ian Marsh
    Pages 9-48
  4. Ronald MacDonald, Ian Marsh
    Pages 49-77
  5. Ronald MacDonald, Ian Marsh
    Pages 79-109
  6. Ronald MacDonald, Ian Marsh
    Pages 111-143
  7. Ronald MacDonald, Ian Marsh
    Pages 145-171
  8. Ronald MacDonald, Ian Marsh
    Pages 173-206
  9. Ronald MacDonald, Ian Marsh
    Pages 207-209
  10. Back Matter
    Pages 211-222

About this book

Introduction

Are foreign exchange markets efficient? Are fundamentals important for predicting exchange rate movements? What is the signal-to-ratio of high frequency exchange rate changes? Is it possible to define a measure of the equilibrium exchange rate that is useful from an assessment perspective?
The book is a selective survey of current thinking on key topics in exchange rate economics, supplemented throughout by new empirical evidence. The focus is on the use of advanced econometric tools to find answers to these and other questions which are important to practitioners, policy-makers and academic economists. In addition, the book addresses more technical econometric considerations such as the importance of the choice between single-equation and system-wide approaches to modelling the exchange rate, and the reduced form versus structural equation problems.
Readers will gain both a comprehensive overview of the way macroeconomists approach exchange rate modelling, and an understanding of how advanced techniques can help them explain and predict the behavior of this crucial economic variable.

Keywords

equilibrium exchange rates linear optimization modeling paraplupub

Authors and affiliations

  • Ronald MacDonald
    • 1
  • Ian Marsh
    • 2
  1. 1.University of StrathclydeUK
  2. 2.City University Business SchoolUK

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4757-2997-9
  • Copyright Information Springer-Verlag US 1999
  • Publisher Name Springer, Boston, MA
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4419-5113-7
  • Online ISBN 978-1-4757-2997-9
  • Series Print ISSN 1570-5811
  • About this book