The flotation of exchange rates in the early 1970s saw a
significant increase in the importance of foreign exchange markets
and in the interest shown in them. Apart from the consequent
institutional changes, this period also witnessed a revolution in
macroeconomic analysis and finance theory based on the concept of
rational expectations. This book provides an integrated approach to
recent developments in the understanding of foreign exchange
markets. It begins by charting the institutional background and
looks at the recent history of movements in some of the major
exchange rates. The theoretical sections focus on the economic and
finance theory of the asset market approach, the macroeconomic
models developed from this approach, and on interest rate parity
theory. The empirical chapters draw on the authors' own research
from a high quality set of exchange rate and interest rate data.
The statistical properties of exchange rates are analysed; the
relationship between spot and forward rates is examined; and the
modelling and impact of new information on the forward and spot
relationship is considered. The final chapter is devoted to the
estimation and testing of exchange rate models.
General
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