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基本説明
Includes 17 articles, dating from 1976 to 2003.
Full Description
Foreign Exchange Markets presents a selection of classic finance and economics articles on key topics in the behavior of exchange rates and the analysis of foreign exchange markets. The editor has written an authoritative introduction to the literature.The volume comprises five sections which cover a range of topics. The first section deals with fundamental analysis and the second with statistical models of exchange rate behavior. The third section discusses technical analysis and the fourth covers central bank intervention. The fifth section looks at the micro structure of foreign exchange markets. Many of the papers deal with analysis of daily or intra-day data. The papers are chosen to blend theory and empirics.
Contents
Contents:
Acknowledgements
Foreword Richard Roll
Introduction Richard J. Sweeney
PART I FUNDAMENTALS IN THE FOREIGN EXCHANGE MARKET
1. Stanley Fischer (2001), 'Exchange Rate Regimes: Is the Bipolar View Correct?'
2. Rudiger Dornbusch (1976), 'Expectations and Exchange Rate Dynamics'
3. Richard A. Meese and Kenneth Rogoff (1983), 'Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?'
4. Nelson C. Mark and Donggyu Sul (2001), 'Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel'
PART II STATISTICAL MODELS OF THE FOREIGN EXCHANGE MARKET
5. Torben G. Andersen and Tim Bollerslev (1997), 'Intraday Periodicity and Volatility Persistence in Financial Markets'
6. Torben G. Andersen and Tim Bollerslev (1998), 'Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies'
7. Jun Cai, Yan-Leung Cheung, Raymond S.K. Lee and Michael Melvin (2001), '"Once-in-a-Generation" Yen Volatility in 1998: Fundamentals, Intervention, and Order Flow'
PART III TECHNICAL ANALYSIS OF FOREIGN EXCHANGE MARKETS
8. Christopher J. Neely (2002), 'The Temporal Pattern of Trading Rule Returns and Exchange Rate Intervention: Intervention Does Not Generate Technical Trading Profits'
PART IV CENTRAL BANK INTERVENTION IN THE FOREIGN EXCHANGE MARKET
9. Richard T. Baillie and William P. Osterberg (1997), 'Why Do Central Banks Intervene?'
10. Rasmus Fatum and Michael Hutchison (1999), 'Is Intervention a Signal of Future Monetary Policy? Evidence from the Federal Funds Futures Market'
11. R.J. Sweeney (2000), 'Does the Fed Beat the Foreign-Exchange Market?'
12. Andreas M. Fischer and Mathias Zurlinden (1999), 'Exchange Rate Effects of Central Bank Interventions: An Analysis of Transaction Prices'
13. Kathryn M.E. Dominguez (2003), 'The Market Microstructure of Central Bank Intervention'
PART V MICRO STRUCTURE OF THE FOREIGN EXCHANGE MARKET
14. Richard K. Lyons (1995), 'Tests of Microstructural Hypotheses in the Foreign Exchange Market'
15. Bettina Peiers (1997), 'Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market'
16. Vicentiu Covrig and Michael Melvin (2002), 'Asymmetric Information and Price Discovery in the FX Market: Does Tokyo Know More About the Yen?'
17. Martin D.D. Evans and Richard K. Lyons (2002), 'Order Flow and Exchange Rate Dynamics'
Name Index
