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Foreign Exchange Market : Theory and Econometric Evidence by Patrick C. McMahon and Richard T. Baillie (1990, Trade Paperback)

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About this product

Product Identifiers

PublisherCambridge University Press

ISBN-100521396905

ISBN-139780521396905

eBay Product ID (ePID)285924

Product Key Features

Number of Pages276 Pages

Publication NameForeign Exchange Market : Theory and Econometric Evidence

LanguageEnglish

Publication Year1990

SubjectForeign Exchange, Finance / General

TypeTextbook

Subject AreaBusiness & Economics

AuthorPatrick C. Mcmahon, Richard T. Baillie

FormatTrade Paperback

Dimensions

Item Height0.6 in

Item Weight14.5 Oz

Item Length9 in

Item Width6 in

Additional Product Features

Intended AudienceScholarly & Professional

Reviews"This well written and sophisticated book reviews the theoretical and empirical literature concerned with the determination of exchange rates." Herbert G. Grubel, Journal of Economic Literature

Dewey Edition21

TitleLeadingThe

IllustratedYes

Dewey Decimal332.4/5

Table Of Content1. Historical development and institutions; 2. The theory of efficient markets; 3. Models of exchange rate behaviour; 4. Econometric methodology; 5. Expectation models; 6. Statistical properties of exchange rate series; 7. The forward rate as a predictor of the future spot rate; 8. Purchasing power and interest rate parity theories: empirical evidence; 9. Exchange rate forecasting and conclusions.

SynopsisThis book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It covers the theory of efficient markets as developed in finance, and the models used to explain the movements of exchange rates in macroeconomics. The authors deal with the econometric estimation and testing of different models and theories of the foreign exchange market and macro-economy., 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., The flotation of exchange rates in the early 1970s saw an increase in the importance of foreign exchange markets and in the interest shown in them. It 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 these markets.