Exchange rates and global financial policies / Paul De Grauwe ; Alisha Nguyen, in-house editor.

Format:

Book

Author/Creator:

Grauwe, Paul de, author.

Contributor:

Nguyen, Alisha, editor.

Series:

World Scientific studies in international economics ; 31.

World Scientific Studies in International Economics, 1793-3641 ; 31

Language:

English

Subjects (All):

Foreign exchange rates.

Monetary policy.

International finance.

Physical Description:

1 online resource (585 p.)

Place of Publication:

Singapore : World Scientific, 2014.

Language Note:

English

Summary:

Exchange Rates and Global Financial Policies brings together research and work done by world-class economist Paul De Grauwe over the past two decades. Drawing inspiration from behavioural finance literature, De Grauwe covers topics such as exchange rate economics, monetary integration (with particular attention on the Eurozone), and international macroeconomics. His work is categorized across three parts: The first part develops new theoretical and empirical approaches to exchange rate modeling. The second part features a collection of papers on the theory and empirical analysis of monetary un

Contents:

Acknowledgements; Contents; About the Author; Introduction; PART I: EXCHANGE RATE ECONOMICS; Theoretical; 1. Chaos in the Dornbusch Model of the Exchange Rate; 1. Introduction; 2. The Model; 2.1. The Dornbusch Model; 2.1.1. Goods market equilibrium; 2.2. The Speculative Dynamics; 2.3. Solution of the Model; 3. Existence of Chaos; 4. Effects of Money Supply Changes; 5. The Role of News in the Exchange Rate Dynamics; 6. Some Preliminary Empirical Tests; 7. Chaos in the Price Level and in the Interest Rate; 8. Conclusion; Appendix; References

2. Heterogeneity of Agents, Transactions Costs and the Exchange Rate1. Introduction; 2. A Simple Non-Linear Exchange Rate Model; 3. The Model with Transactions Costs; 4. Solution of the Model; 5. Sensitivity Analysis; 6. The Stochastic Version of the Model; 7. The Effect of Permanent Shocks; 8. Empirical Relevance of the Model; 8.1. The Disconnect Puzzle; 8.2. Fat Tails and Excess Kurtosis; 8.3. Volatility Clustering; 9. Is Chartism Evolutionary Stable?; 10. Conclusion; Appendix 1: Diagnosis of GARCH Structure in the Simulated Exchange Rate Returns; References

3. Exchange Rate Puzzles: A Tale of Switching Attractors1. Introduction; 2. The Model; 2.1. The Optimal Portfolio; 2.2. The Forecasting Rules; 2.3. Fitness of the Rules; 3. Solution of the Model; 3.1. The Steady State; 3.2. Numerical Analysis; 4. Sensitivity Analysis; 4.1. Sensitivity with Respect to β; 4.2. Sensitivity with Respect to γ; 4.3. Sensitivity with Respect to Transactions Costs; 5. The Stochastic Version of the Model; 6. Empirical Relevance of the Model; 6.1. The Disconnect Puzzle; 6.2. The "Excess Volatility" Puzzle; 6.3. Non-normality of the Returns; 7. Large and Small Shocks

8. On the Success of Technical Analysis9. Conclusion; A Appendix 1. The Variance Ratio σ2f,t/σ2c,t in Steady State; B Appendix 2. Numerical Values of the Parameters Used in the Base Simulation; References; Empirical; 4. Exchange Rates in Search of Fundamentals: The Case of the Euro-Dollar Rate; 1. Introduction; 2. Exchange Rate Models: Theory and Empirical Evidence; The flexible price monetary model; The sticky-price monetary model (Dornbusch model); The portfolio balance model; 3. A Case Study: The Euro-dollar Rate During 1999-2000 and the Fundamentals; 3.1. The Data

3.2. The News Component in the Fundamentals4. The Exchange Rates in Search of Fundamentals; 5. Exchange Rates and Stock Prices; 6. Some Additional Evidence; 7. Implications for Monetary Policies and for the Future of the Euro; 7.1. Monetary Policies and Beliefs; 7.2. Foreign Exchange Market Interventions and Beliefs; 7.3. Implications for the Future of the Euro; 8. Conclusion; References; 5. Exchange Rates and Fundamentals: A Non-Linear Relationship?; 1. Introduction; 2. The Model; 3. Estimation Process and the Variables Used; 3.1. The Variables; 3.2. The Estimation Process; 4. The Results

4.1. The Low-inflation Countries

Notes:

Description based upon print version of record.

Includes bibliographical references at the end of each chapters and index.

Description based on print version record.

ISBN:

981-4513-19-9

OCLC:

878146928