Hardback
Exchange Rate Economics
Selected Essays
9781843761983 Edward Elgar Publishing
This authoritative book comprises key papers written on exchange rate economics by the eminent scholar Ronald MacDonald.
More Information
Contents
More Information
This authoritative book comprises key papers written on exchange rate economics by the eminent scholar Ronald MacDonald.
Each of the highly focused chapters discusses the important issues that his research has pursued in this area. The papers are organised under four headings: monetary fundamentals and exchange rate forecasting; equilibrium exchange rate; expectations formation news and risk; and the economics of fixed exchange rates and credibility issues. Among the key findings, Ronald MacDonald concludes that it is possible to successfully forecast currencies in an out of sample context using macroeconomic fundamentals. Additionally, from a practitioner’s perspective, well-founded and useful measures of an equilibrium exchange rate can be calculated once violations of the purchasing power parity concept are recognised.
This essential book contains a number of academic orientated papers that postgraduate students and academics will find invaluable for their research. Practitioners in the financial sector will also be extremely interested in the chapters on exchange rate forecasting and issues relating to equilibrium exchange rates.
Each of the highly focused chapters discusses the important issues that his research has pursued in this area. The papers are organised under four headings: monetary fundamentals and exchange rate forecasting; equilibrium exchange rate; expectations formation news and risk; and the economics of fixed exchange rates and credibility issues. Among the key findings, Ronald MacDonald concludes that it is possible to successfully forecast currencies in an out of sample context using macroeconomic fundamentals. Additionally, from a practitioner’s perspective, well-founded and useful measures of an equilibrium exchange rate can be calculated once violations of the purchasing power parity concept are recognised.
This essential book contains a number of academic orientated papers that postgraduate students and academics will find invaluable for their research. Practitioners in the financial sector will also be extremely interested in the chapters on exchange rate forecasting and issues relating to equilibrium exchange rates.
Contents
Contents:
Introduction
PART I: MONETARY FUNDAMENTALS AND EXCHANGE RATE FORECASTING
1. ‘Exchange Rate Behaviour: Are Fundamentals Important?’ Economic Journal, 109 (459), 1999, F673–F691
2. ‘The Monetary Model of the Exchange Rate: Long-run Relationships, Short-run Dynamics and How to Beat a Random Walk’, with M.P. Taylor, Journal of International Money and Finance, 13 (3), 1994, 276–90
3. ‘On Fundamentals and Exchange Rates: A Casselian Perspective’, with I.W. Marsh, Review of Economics and Statistics, 79 (4), 1997, 655–64
4. ‘Monetary-based Models of the Exchange Rate: A Panel Perspective’, with S. Husted, Journal of International Financial Markets, Institutions and Money, 8 (1), 1998, 1–19
5. ‘Modeling the ECU Against the U.S. Dollar: A Structural Monetary Interpretation’, with L. La Cour, Journal of Business Economics and Statistics, 18 (4), 2000, 436–50
6. ‘Currency Spillovers and Tri-polarity: A Simultaneous Model of the US Dollar, German Mark and Japanese Yen’, with I.W. Marsh, Journal of International Money and Finance, 23 (1), 2004, 99–111
7. ‘Markov Switching Regimes in a Monetary Exchange Rate Model’, with M. Frömmel and L. Menkhoff, Economic Modelling, 22 (3), 2005, 485–502
PART II: EQUILIBRIUM EXCHANGE RATES: PURCHASING POWER PARITY AND THE REAL EXCHANGE RATE
8. ‘Long-run Purchasing Power Parity: Is it for Real?’, Review of Economics and Statistics, 75 (4), 1993, 690–95
9. ‘Panel Unit Root Tests and Real Exchange Rates’, Economics Letters, 50 (1), 1996, 7–11
10. ‘International Parity Relationships Between the USA and Japan’, with K. Juselius, Japan and the World Economy, 16 (1), 2004, 17–34
11. ‘Filtering the BEER: A Permanent and Transitory Decomposition’, with P.B. Clark, Global Finance Journal, 15 (1), 2004, 29–56
12. ‘The Real Exchange Rate and the Balassa–Samuel Effect: The Role of the Distributional Sector’, with L.A. Ricci, Pacific Economic Review, 10 (1) 2005, 29–48
13. ‘Real Exchange Rates, Imperfect Substitutability, and Imperfect Competition’, with L.A. Ricci, Journal of Macroeconomics, 29 (4) 2007, 639–64
PART III: EXPECTATIONS FORMATION, NEWS AND RISK
14. ‘£M3 Surprises and Asset Prices’, with T.S. Torrance, Economica, 54 (216), 1987, 505–15
15. ‘Expectations Formation and Risk in Four Foreign Exchange Markets’ with T.S. Torrance, Oxford Economic Papers, 42 (3), 1990, 544–61
16. ‘Combining Exchange Rate Forecasts: What is the Optimal Consensus Measure?’ with I.W. Marsh, Journal of Forecasting, 13, 1994, 313–32
17. ‘Currency Forecasters are Heterogeneous: Confirmation and Consequences’, with I.W. Marsh, Journal of International Money and Finance, 15 (5) 1996, 665–85
18. ‘Models of Exchange Rate Expectations: How Much Heterogeneity?’, with A. Bénassy-Quéré and S. Larribeau, Journal of International Financial Markets, Institutions and Money, 13 (2) 2003, 113–36
PART IV: THE ECONOMICS OF FIXED EXCHANGE RATES AND CREDIBILITY ISSUES
19. ‘On the Mean-reverting Properties of Target Zone Exchange Rates: Some Evidence from the ERM’, with M. Anthony, European Economic Review, 42 (8) 1998, 1493–523
20. ‘Crash! Expectational Aspects of the Departures of the United Kingdom and the United States from the Inter-war Gold Standard’, with C.P. Hallwood and I.W. Marsh, Explorations in Economic History, 34 (2) 1997, 174–94
21. ‘Realignment Expectations and the US Dollar, 1890–1897: Was There a “Peso Problem”?’ with C.P. Hallwood and I.W. Marsh, Journal of Monetary Economics, 46 (3) 2000, 605–20
22. ‘Interest Rate Interactions in the Classical Gold Standard, 1880–1914: Was There Any Monetary Independence?’, with M.D. Bordo, Journal of Monetary Economics, 52 (2) 2005, 307–27
Introduction
PART I: MONETARY FUNDAMENTALS AND EXCHANGE RATE FORECASTING
1. ‘Exchange Rate Behaviour: Are Fundamentals Important?’ Economic Journal, 109 (459), 1999, F673–F691
2. ‘The Monetary Model of the Exchange Rate: Long-run Relationships, Short-run Dynamics and How to Beat a Random Walk’, with M.P. Taylor, Journal of International Money and Finance, 13 (3), 1994, 276–90
3. ‘On Fundamentals and Exchange Rates: A Casselian Perspective’, with I.W. Marsh, Review of Economics and Statistics, 79 (4), 1997, 655–64
4. ‘Monetary-based Models of the Exchange Rate: A Panel Perspective’, with S. Husted, Journal of International Financial Markets, Institutions and Money, 8 (1), 1998, 1–19
5. ‘Modeling the ECU Against the U.S. Dollar: A Structural Monetary Interpretation’, with L. La Cour, Journal of Business Economics and Statistics, 18 (4), 2000, 436–50
6. ‘Currency Spillovers and Tri-polarity: A Simultaneous Model of the US Dollar, German Mark and Japanese Yen’, with I.W. Marsh, Journal of International Money and Finance, 23 (1), 2004, 99–111
7. ‘Markov Switching Regimes in a Monetary Exchange Rate Model’, with M. Frömmel and L. Menkhoff, Economic Modelling, 22 (3), 2005, 485–502
PART II: EQUILIBRIUM EXCHANGE RATES: PURCHASING POWER PARITY AND THE REAL EXCHANGE RATE
8. ‘Long-run Purchasing Power Parity: Is it for Real?’, Review of Economics and Statistics, 75 (4), 1993, 690–95
9. ‘Panel Unit Root Tests and Real Exchange Rates’, Economics Letters, 50 (1), 1996, 7–11
10. ‘International Parity Relationships Between the USA and Japan’, with K. Juselius, Japan and the World Economy, 16 (1), 2004, 17–34
11. ‘Filtering the BEER: A Permanent and Transitory Decomposition’, with P.B. Clark, Global Finance Journal, 15 (1), 2004, 29–56
12. ‘The Real Exchange Rate and the Balassa–Samuel Effect: The Role of the Distributional Sector’, with L.A. Ricci, Pacific Economic Review, 10 (1) 2005, 29–48
13. ‘Real Exchange Rates, Imperfect Substitutability, and Imperfect Competition’, with L.A. Ricci, Journal of Macroeconomics, 29 (4) 2007, 639–64
PART III: EXPECTATIONS FORMATION, NEWS AND RISK
14. ‘£M3 Surprises and Asset Prices’, with T.S. Torrance, Economica, 54 (216), 1987, 505–15
15. ‘Expectations Formation and Risk in Four Foreign Exchange Markets’ with T.S. Torrance, Oxford Economic Papers, 42 (3), 1990, 544–61
16. ‘Combining Exchange Rate Forecasts: What is the Optimal Consensus Measure?’ with I.W. Marsh, Journal of Forecasting, 13, 1994, 313–32
17. ‘Currency Forecasters are Heterogeneous: Confirmation and Consequences’, with I.W. Marsh, Journal of International Money and Finance, 15 (5) 1996, 665–85
18. ‘Models of Exchange Rate Expectations: How Much Heterogeneity?’, with A. Bénassy-Quéré and S. Larribeau, Journal of International Financial Markets, Institutions and Money, 13 (2) 2003, 113–36
PART IV: THE ECONOMICS OF FIXED EXCHANGE RATES AND CREDIBILITY ISSUES
19. ‘On the Mean-reverting Properties of Target Zone Exchange Rates: Some Evidence from the ERM’, with M. Anthony, European Economic Review, 42 (8) 1998, 1493–523
20. ‘Crash! Expectational Aspects of the Departures of the United Kingdom and the United States from the Inter-war Gold Standard’, with C.P. Hallwood and I.W. Marsh, Explorations in Economic History, 34 (2) 1997, 174–94
21. ‘Realignment Expectations and the US Dollar, 1890–1897: Was There a “Peso Problem”?’ with C.P. Hallwood and I.W. Marsh, Journal of Monetary Economics, 46 (3) 2000, 605–20
22. ‘Interest Rate Interactions in the Classical Gold Standard, 1880–1914: Was There Any Monetary Independence?’, with M.D. Bordo, Journal of Monetary Economics, 52 (2) 2005, 307–27