The Foreign Exchange Market: Theory and Econometric Evidenceby Richard T. Baillie, Patrick C. McMahon
Pub. Date: 08/17/1989
Publisher: Cambridge University Press
This books attempts to use recent developments in macroeconomics, finance theory and econometrics to examine some of the more interesting questions concerning the foreign exchange rate market. The book uses a distinctive approach of having a fairly detailed description of a theory or model followed later with a rigorous econometric analysis of the evidence.
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Table of Contents1. 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.
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