the economics of exchange rates

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1、1IntroductionInthelastfewdecadesorsoexchangerateeconomicshasseenanumberofimportantdevelopments,withsubstantialcontributionstoboththetheoryandtheempiricsofexchangeratedetermination.Importantdevelopmentsineconometricsandtheincreasingavailabilityofhigh-qualitydatahavealsobeenresponsibleforstimulat

2、ingthelargeamountofempiricalworkonexchangeratespublishedoverthisperiod.Nevertheless,whileourunderstandingofexchangerateshassignificantlyimproved,anumberofchallengesandopenquestionsremainintheexchangeratedebate,furtherenhancedbyimportanteventsinthiscontextsuchasthelaunchoftheeuroasthesingleEurope

3、ancurrencyinJanuary1999andthelargenumberofcurrencycriseswhichoccurredduringthe1990s.Inthisbook–partmonograph,partadvancedtextbook–weprovideaselectivecoverageoftheliteratureonexchangerateeconomics,focusingparticularlybutnotexclusivelyoncontributionsmadeduringthelastfifteenyearsorso.Throughouttheb

4、ookouraimis,inadditiontogivingaclearexposition,toprovideconstructivecriticismoftheliteratureandtosuggestfurtheravenuesforresearchandanalysis.ThesurveyarticlebyTaylor(1995)on‘TheEconomicsofExchangeRates’,whichprovidesacomprehensivereviewofthepost-warliteratureonthesubjectuntiltheearly1990s,maybe

5、seenasusefulgroundworkpreliminarytothestudyofthisbook,althoughreaderswithagoodgeneralbackgroundineconomicsshouldbeabletotacklethebookheadon.Inthisbriefintroduction,weprovideaguidetothefollowingchapters.Chapter2coverstheliteratureonforeignexchangemarketefficiency.Inanefficientspeculativemarketpric

6、esshouldfullyreflectinformationavailabletomarketparticipantsanditshouldbeimpossibleforatradertoearnexcessreturnstospeculation.Academicinterestinforeignexchangemarketefficiencycanbetracedtoargumentsconcerningtheinformationcontentoffinancialmarketpricesandtheimplicationsforsocialefficiency.Initssimpl

7、estform,theefficientmarketshypothesiscanbereducedtoajointhypothesisthatforeignexchangemarketparticipantsare,inanaggregatesense,endowedwithrationalexpectationsandarerisk-neutral.Thehypothesiscanbemodifiedtoadjustforrisk,sothatitthenb