New Developments in Exchange Rate Economics

Edited by Lucio Sarno, University of Cambridge and Mark P. Taylor, Dean and Professor of Finance, Warwick Business School, University of Warwick, UK

• Contents:Volume IAcknowledgementsPreface Lucio Sarno and Mark P. TaylorIntroduction Lucio Sarno and Mark P. TaylorPART IGROUNDWORK 1. Mark P. Taylor (1995), ‘The Economics of Exchange Rates’PART IIEXCHANGE RATE THEORY 2. Bernard Dumas (1992), ‘Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World’3. Maurice Obstfeld and Kenneth Rogoff (1995), ‘Exchange Rate Dynamics Redux’4. Maurice Obstfeld and Kenneth Rogoff (2000), ‘New Directions for Stochastic Open Economy Models’5. Philip R. Lane (2001), ‘The New Open Economy Macroeconomics: A Survey’PART IIIEMPIRICAL EXCHANGE RATE MODELLING AND TESTING 6. Charles Engel and James D. Hamilton (1990), ‘Long Swings in the Dollar: Are They in the Data and Do Markets Know It?’7. Marianne Baxter (1994), ‘Real Exchange Rates and Real Interest Differentials: Have We Missed the Business-Cycle Relationship?’8. Richard Clarida and Jordi Gali (1994), ‘Sources of Real Exchange-Rate Fluctuations: How Important Are Nominal Shocks?’9. Martin Eichenbaum and Charles L. Evans (1995), ‘Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates’10. Robert P. Flood and Andrew K. Rose (1995), ‘Fixing Exchange Rates: A Virtual Quest for Fundamentals’11. David H. Papell (1997), ‘Cointegration and Exchange Rate Dynamics’12. Mark P. Taylor and David A. Peel (2000), ‘Nonlinear Adjustment, Long-run Equilibrium and Exchange Rate Fundamentals’PART IVTARGET ZONES 13. Paul R. Krugman (1991), ‘Target Zones and Exchange Rate Dynamics’14. Robert P. Flood and Peter M. Garber (1991), ‘The Linkage between Speculative Attack and Target Zone Models of Exchange Rates’15. Marcus Miller and Paul Weller (1991), ‘Exchange Rate Bands with Price Inertia’16. Giuseppe Bertola and Ricardo J. Caballero (1992), ‘Target Zones and Realignments’17. Bernard Dumas and Lars E.O. Svensson (1994), ‘How Long Do Unilateral Target Zones Last?’18. Matteo Iannizzotto and Mark P. Taylor (1999), ‘The Target Zone Model, Non-linearity and Mean Reversion: Is the Honeymoon Really Over?’PART VCURRENCY CRISES 19. Paul Krugman (1979), ‘A Model of Balance-of-Payments Crises’20. Maurice Obstfeld (1994), ‘The Logic of Currency Crises’21. Maurice Obstfeld (1996), ‘Models of Currency Crises with Self-fulfilling Features’22. Olivier Jeanne (1997), ‘Are Currency Crises Self-fulfilling? A Test’23. Robert Flood and Nancy Marion (1999), ‘Perspectives on the Recent Currency Crisis Literature’24. Lucio Sarno and Mark P. Taylor (1999), ‘Moral Hazard, Asset Price Bubbles, Capital Flows, and the East Asian Crisis: The First Tests’Name Index Volume II AcknowledgementsA preface and introduction by the editors to both volumes appears in Volume IPART IFOREIGN EXCHANGE MARKET EFFICIENCY, INTEREST RATE PARITIES AND RISK PREMIA 1. Geert Bekaert and Robert J. Hodrick (1992), ‘Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets’2. Graham Elliott and Takatoshi Ito (1999), ‘Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market’3. Weike Hai, Nelson C. Mark and Yangru Wu (1997), ‘Understanding Spot and Forward Exchange Rate Regressions’4. Nelson C. Mark and Yangru Wu (1998), ‘Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise’PART IIEXCHANGE RATE PREDICTABILITY 5. Francis X. Diebold and James M. Nason (1990), ‘Nonparametric Exchange Rate Prediction?’6. Richard M. Levich and Lee R. Thomas III (1993), ‘The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: A Bootstrap Approach’7. Nelson C. Mark (1995), ‘Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability’8. Richard H. Clarida and Mark P. Taylor (1997), ‘The Term Structure of Forward Exchange Premiums and the Forecastability of Spot Exchange Rates: Correcting the Errors’9. Nelson C. Mark and Doo-Yull Choi (1997), ‘Real Exchange-Rate Prediction over Long Horizons’PART IIIPURCHASING POWER PARITY AND REAL EXCHANGE RATE BEHAVIOUR 10. Kenneth Rogoff (1996), ‘The Purchasing Power Parity Puzzle’11. Francis X. Diebold, Steven Husted and Mark Rush (1991), ‘Real Exchange Rates under the Gold Standard’12. Charles Engel and John H. Rogers (1996), ‘How Wide is the Border?’13. James R. Lothian and Mark P. Taylor (1996), ‘Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries’14. Mark P. Taylor and Lucio Sarno (1998), ‘The Behavior of Real Exchange Rates during the Post-Bretton Woods Period’15. Matthew B. Canzoneri, Robert E. Cumby and Behzad Diba (1999), ‘Relative Labor Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries’16. Charles Engel (1999), ‘Accounting for U.S. Real Exchange Rate Changes’17. Yin-Wong Cheung and Kon S. Lai (2000), ‘On Cross-Country Differences in the Persistence of Real Exchange Rates’PART IVTHE MICROSTRUCTURE OF THE FOREIGN EXCHANGE MARKET 18. Jeffrey A. Frankel and Kenneth A. Froot (1990), ‘Chartists, Fundamentalists, and Trading in the Foreign Exchange Market’19. Robert F. Engle, Takatoshi Ito and Wen-Ling Lin (1990), ‘Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market’20. Menzie Chinn and Jeffrey Frankel (1994), ‘Patterns in Exchange Rate Forecasts for Twenty-five Currencies’21. Hendrik Bessembinder (1994), ‘Bid-Ask Spreads in the Interbank Foreign Exchange Markets’22. Philippe Jorion (1995), ‘Predicting Volatility in the Foreign Exchange Market’23. Richard K. Lyons (1995), ‘Tests of Microstructural Hypotheses in the Foreign Exchange Market’24. Richard K. Lyons (1997), ‘A Simultaneous Trade Model of the Foreign Exchange Hot Potato’25. Takatoshi Ito, Richard K. Lyons and Michael T. Melvin (1998), ‘Is There Private Information in the FX Market? The Tokyo Experiment’Name Index

'Sarno and Taylor have created a book that is sure to be in the library of all serious scholars of exchange rates. The authors are to be commended for distilling such a fine collection of major works from the voluminous literature on the subject.'