On Exchange Rates

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Overview

These seventeen essays provide an accessible and thorough reference for understanding the role of exchange rates in the international monetary system since 1973, when the rates were allowed to float. The essays analyze such issues as exchange rate movements, exchange risk premia,investor expectations of exchange rates and behavior of exchange rates in different systems.

Frankel's sound empirical treatment of exchange rate questions shows that it is possible to produce work that is interesting from a purely intellectual viewpoint while contributing to practical knowledge of the real world of international economics and finance.The essays have been organized in a way that provides an introduction to the field of empirical international finance. Part Idocuments the steady reduction in barriers to international capital movement and leads logically to part II, which explains how exchange rates are determined. Both monetary and portfolio-based models are surveyed in part II, providing a clear transition to the topic of part III; the possible existence of an exchange risk premium. Part IV applies the tools discussed in earlier sections to explore various policy questions related to exchange rate expectations such as whether foreign exchange intervention matters and whether the European monetary system had become credible by 1991.

Each part begins with a detailed introduction explaining not only the central issues of that section but also suggesting connections with other essays in the book.Jeffrey A. Frankel is Professor ofEconomics at the University of California, Berkeley.

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Editorial Reviews

Booknews
Seventeen essays provide an accessible and thorough reference for understanding the role of exchange rates in the international monetary system since 1973. The essays analyze such issues as exchange rate movements, exchange risk premia, investor expectations of exchange rates, and behavior of exchange rates in different systems. Annotation c. Book News, Inc., Portland, OR (booknews.com)
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Product Details

  • ISBN-13: 9780262061544
  • Publisher: MIT Press
  • Publication date: 6/4/1993
  • Edition description: New Edition
  • Pages: 450
  • Product dimensions: 6.30 (w) x 9.00 (h) x 1.10 (d)

Meet the Author

Jeffrey A. Frankel is James W. Harpel Professor of Capital Formation and Economic Growth atHarvard University's John F. Kennedy School of Government and a Research Associate at the NationalBureau of Economic Research.

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Table of Contents

Preface
Acknowledgments
I The Modern International Monetary System
1 The Flexible Exchange Rate System: Experience and Alternatives 5
2 Quantifying International Capital Mobility in the 1980s 41
II The Determination of Exchange Rate Movements
3 On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials 77
4 Monetary and Portfolio-Balance Models of the Determination of Exchange Rates 95
5 Why Interest Rates React to Money Announcements: An Explanation from the Foreign Exchange Market 117
6 Six Possible Meanings of "Overvaluation": The 1981-85 Dollar 135
7 Zen and the Art of Modern Macroeconomics: The Search for Perfect Nothingness 173
III Is There an Exchange Risk Premium?
8 Tests of Rational Expectations in the Forward Exchange Market 189
9 The Diversifiability of Exchange Risk 205
10 In Search of the Exchange Risk Premium: A Six-Currency Test Assuming Mean-Variance Optimization 219
11 Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium 235
12 Forward Discount Bias: Is it an Exchange Risk Premium? 245
IV Exchange Rate Expectations
13 Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations 267
14 Understanding the U.S. Dollar in the Eighties: The Expectations of Chartists and Fundamentalists 295
15 Chartists, Fundamentalists and Trading in the Foreign Exchange Market 317
16 Foreign Exchange Intervention: An Empirical Assessment 327
17 The European Monetary System: Credible in 1988-1991? 347
Notes 361
References 399
Index 431
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