THE FOREIGN EXCHANGE MARKET by Richard T. Baillie, Patrick C. McMahon ( 9780521396905 )

Item Details

Title:

THE FOREIGN EXCHANGE MARKET
THEORY AND ECONOMETRIC EVIDENCE

By:

Richard T. Baillie, Patrick C. McMahon

Format:

Paperback

List price:

£30.99

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£27.12

Discount:

12.5% off

You save:

£3.87

ISBN 10:

0521396905

ISBN 13:

9780521396905

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Publisher:

CAMBRIDGE UNIVERSITY PRESS

Pub. date:

19 October, 1990

Pages:

276

Description:

The early 1970s saw a significant increase in the importance of foreign exchange markets as well as a revolution in macroeconomic analysis and finance theory. This study aims to provide an integrated approach to recent developments in understanding foreign exchange markets.

Synopsis:

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.

Illustrations:

1 b/w illus. 38 tables

Publication:

Imprint:

Cambridge University Press

Returns:

Returnable

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