EXCHANGE RATE DYNAMICS: A Modern Analysis of Exchange Rate Theory and Evidence - Hardcover

Pentecost, Eric J.

Hardcover

ISBN 10: 1852781386 ISBN 13: 9781852781385

Publisher: Edward Elgar Publishing Ltd, 1993

Synopsis

This important book provides an up-to-date assessment and survey of the most important recent theoretical and empirical work on exchange rates.

Eric Pentecost examines the vast literature which has been produced since the mid-1970s by carefully developing the main theoretical models of exchange rate determination and assessing their empirical validity, drawing largely from recent econometric results based on the cointegration methodology. In addition to the monetary and portfolio balance models of the exchange rate and their predecessors, models of ‘the news’, speculative bubbles and risk premia are also considered. Very recent developments are reviewed in the final chapter and include the use of survey data on exchange rate expectations to test the rational expectations hypothesis, chartism, the use of chaos theory as a means of modelling exchange rate dynamics, and models of ‘smooth-pasting’.

About this title

About the Author

Eric J. Pentecost, Professor of Economics, Loughborough University, UK

Edition details

• Publisher: Edward Elgar Publishing Ltd
• Publication date: 1993
• Language: English
• ISBN 10: 1852781386
• ISBN 13: 9781852781385
• Binding: Hardcover
• Number of pages: 240