Evans, Martin D. D.

Exchange-Rate Dynamics. - 1 online resource (561 pages)

Cover -- Contents -- Preface -- Part I: Macro Models -- Chapter 1 Macro Models Without Frictions -- 1.1 Preliminaries -- 1.2 Empirical Characteristics of Real Exchange Rates -- 1.3 Macro Exchange-Rate Models -- 1.4 Summary -- 1.5 Bibliography -- 1.6 Review Questions -- 1.A Appendix -- Chapter 2 Macro Models With Frictions -- 2.1 The Model -- 2.2 Sticky Prices -- 2.3 International Risk-Sharing -- 2.4 Incomplete Markets -- 2.5 Summary -- 2.6 Bibliography -- 2.7 Review Questions -- 2.A Appendix -- Chapter 3 Empirical Macro Models -- 3.1 Present Value Models -- 3.2 Monetary Models -- 3.3 External Balance Models -- 3.4 Predicting Exchange-Rate Movements -- 3.5 Summary -- 3.6 Bibliography -- 3.7 Review Questions -- 3.A Appendix -- Part II: Microstructure Models -- Chapter 4 Rational Expectations Models -- 4.1 The Model -- 4.2 Equilibrium With Common Information -- 4.3 Equilibrium With Heterogeneous Information -- 4.4 Equilibrium Problems -- 4.5 Summary -- 4.6 Bibliography -- 4.7 Review Questions -- 4.A Appendix -- Chapter 5 Sequential Trade Models -- 5.1 The Model -- 5.2 Exchange-Rate Determination -- 5.3 Exchange-Rate Dynamics -- 5.4 Information Flows -- 5.5 Public Versus Private Information -- 5.6 Uninformed Traders -- 5.7 Summary -- 5.8 Bibliography -- 5.9 Review Questions -- Chapter 6 Currency-Trading Models -- 6.1 The Structure of the Fx Market -- 6.2 The Portfolio Shifts Model -- 6.3 Extending the Portfolio Shifts Model -- 6.4 Summary -- 6.5 Bibliography -- 6.6 Review Questions -- 6.A Appendix -- Chapter 7 Currency-Trading Models: Empirical Evidence -- 7.1 Daily Analysis -- 7.2 Intraday Analysis -- 7.3 Summary -- 7.4 Bibliography -- 7.5 Review Questions -- 7.A Appendix -- Chapter 8 Identifying Order Flow -- 8.1 Order Flow in a Rational Expectations Model -- 8.2 Order Flow in a Limit-Order Market -- 8.3 Estimating Order Flow -- 8.4 Summary. 8.5 Bibliography -- 8.6 Review Questions -- 8.A Appendix -- Part III: Micro-Based Models -- Chapter 9 Order Flows and the Macroeconomy -- 9.1 A Micro-Based Macro Model -- 9.2 Empirical Implications -- 9.3 Re-Examining the Disconnect Puzzle -- 9.4 Summary -- 9.5 Bibliography -- 9.6 Review Questions -- 9.A Appendix -- Chapter 10 Exchange Rates, Order Flows, and Macro Data Releases -- 10.1 The Macro Perspective -- 10.2 Micro Perspective I: High-Frequency Dynamics -- 10.3 Micro Perspective Ii: Low-Frequency Dynamics -- 10.4 Summary -- 10.5 Bibliography -- 10.6 Review Questions -- 10.A Appendix -- Chapter 11 Exchange-Rate Risk -- 11.1 Fx Returns and Interest Rates -- 11.2 Macro Models -- 11.3 Micro-Based Models -- 11.4 Summary -- 11.5 Bibliography -- 11.6 Review Questions -- 11.A Appendix -- References -- Index -- A -- B -- C -- D -- E -- F -- G -- H -- I -- J -- K -- L -- M -- N -- O -- P -- R -- S -- T -- U -- V -- W -- Z.

9781283009164


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