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The Economics of exchange rates: selected studies

Author: Frenkel, Jacob A. ; Johnson, Harry G. Series: Addison-Wesley series in economics Publisher: Addison Wesley, 1978.Language: EnglishDescription: xvii, 218 p. : Graphs ; 24 cm.ISBN: 0201023741/0201023768Type of document: BookBibliography/Index: Includes bibliographical references and index
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Item type Current location Collection Call number Status Date due
Book Doriot Library
Main Collection
Print HG3821 .E3
(Browse shelf)
000085526
Available

Includes bibliographical references and index

Digitized

Chapter 1 A MONETARY APPROACH TO THE EXCHANGE RATE: DOCTRINAL ASPECTS AND EMPIRICAL EVIDENCE by Jacob A. Frenkel Abstract Introduction 1 1 2 3 6 A Doctrinal Perspective to Exchange Rate Determination I1 Empirical Evidence: A Reexamination of the German Hyperinflation Appendix: Data Sources 22 Chapter 2 THE THEORY OF FLEXIBLE EXCHANGE RATE REGIMES AND MACROECONOMIC POLICY by Rudiger Dornbusch Abstract I A General View of Exchange Rate Determinants 27 28 32 I1 Short-Run Determination of Exchange Rates I11 Speculation, Macroeconomic Policies, and the Transmission of Disturbances IV Speculative Disturbances and Dual Exchange Rates Concluding Remarks Appendix Chapter 3 THE EXCHANGE RATE, THE BALANCE OF PAYMENTS, AND MONETARY AND FISCAL POLICY UNDER A REGIME OF CONTROLLED FLOATING by Michael Mussa Abstract Introduction I 4 A Monetary Approach to Exchange Rate Theory II The Exchange Rate as the Relative Price of Two Monies III Expectations and Exchange Rates 4. 53 54 56 IV Real Causes and Effects V Policy Conflict and Policy Coordination Appendix 58 Chapter 4 CONTRACTING AND SPURIOUS DEVIATIONS FROM PURCHASINGPOWER PARITY by Stephen P . Magee 1 The Financial Market 68 Efficient Goods market Behavior 69 70 Spurious inefficiency for markets for Internationally Traded Goods Chapter 5 RATIONAL EXPECTATIONS AND THE EXCHANGE RATE by John F . 0 . Bilson I Introduction I1 The Money Supply Process 75 79 80 82 82 111 The Real Income Process IV The Final Exchange Rate Equation V The Stability of the Exchange Rate VI The Term Structure of the Forward Premium VI1 Extensions VI11 Empirical Tests of the Model 83 84 84 89 93 IX An Alternative Formulation X Conclusion Chapter 6 AN EMPIRICAL ANALYSIS OF THE MONETARY APPROACH TO THE DETERMINATION OF THE EXCHANGE RATE by Robert J . Hodrick I Introduction I1 Equilibrium Determination of the Exchange Rate 97 98 101 105 113 111 Tests with Variables in the Levels of Natural Logarithms IV Tests using Rates of Change of Variables V Conclusions Chapter 7 EXCHANGE RESTRICTIONS AND THE MONETARY APPROACH TO THEEXCHANGERATE by Mario I . Blejev I Introduction I1 The Model I11 Empirical Results 1v Summary 117 1 18 124 127 Chapter 8 TESTS OF FORECASTING MODELS AND MARKET EFFICIENCY IN THE INTERNATIONAL MONEY MARKET by Richard M . Levich I Introduction 129 130 134 152 156 I1 Statistical Methods and Exchange-Rate Forecasting 111 Statistical Properties of Forecast Errors IV Forecasts and Risky Investment Opportunities V Summary and Conclusions Chapter 9 RISK, INFORMATION, AND FORWARD EXCHANGE RATES by Alan C. Stockman Introduction I Theoretical Analysis 159 160 166 173 I1 Empirical Results 111 New Information in the Foreign Exchange Market IV Conclusions 176 Chapter 10 A STOCK ADJUSTMENT APPROACH TO MONETARY POLICY AND THE BALANCE OF PAYMENTS by Junichi Ujiie I Introduction I1 The Theoretical Framework I11 Empirical Results IV Conclusions 179 180 185 191 Chapter 11 DEVALUATION IN AN EMPIRICAL GENERAL EQUILIBRIUM MODEL by Kenneth W. Clements ~ I Introduction 11 193 194 197 198 Overview of the Model and Its Empirical Implementation I11 Devaluation Mechanisms IV Simulation Results V Concluding Comments 202 203 Appendix Author Index 213

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