Foreign Exchange Market by Richard T. Baillie
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Foreign Exchange Market
By Richard T. Baillie

The Foreign Exchange Market

Theory and Econometric Evidence

By (author) See other recent books by Richard T. Baillie See other recent books by Patrick C. McMahon
Format: Paperback

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Foreign Exchange Market by Richard T. Baillie

Book Description

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.

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Book Details

ISBN: 9780521396905
ISBN-10: 0521396905
Format: Paperback
(228mm x 152mm x 16mm)
Pages: 276
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 26-Oct-1990
Country of Publication: United Kingdom

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