This book is a survey of exchange-rate economics. Using the latest econometric techniques, it covers the main theories that explain the determination of exchange rates and utilizes recent empirical data on exchange rate behavior.
The Economics of Exchange Rates
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Editorial Reviews
Review
'Sarno and Taylor's book is a tour de force. The exposition is comprehensive, covering contributions from all corners of the field, and covering the range from the seminal models of the 1970s to the latest discoveries on the theoretical and econometric frontiers of the 2000s. There is no excess verbiage or mathematics. Everything is there to serve a purpose. This is the current state of knowledge.' Jeffrey A. Frankel, Harvard University
'This is a text around which one can build a fine graduate-level course in international finance. The material in this text fits the needs of scholars for a state-of-the-art coverage of the best thinking on exchange rate economics. With topics like New open-economy macroeconomics and Official intervention in the foreign exchange market it should be clear that this book is broad in its scope and delves deeply into the area going well beyond the determinants of exchange rates. The authors pay careful attention to pedagogy with patient, in-text explanations of technical details like Ito's Lemma and excellent appendices on related issues, including Jensen's inequality and GMM estimators. The patient and detailed explanations of technical issues related to the core topics make the book self-contained. The authors have been on the frontiers of research in this area, and this new text clearly reflects their mastery of the subject. I highly recommend this text to both students and scholars of international finance.' Michael Melvin, Arizona State University
'This is a superb volume that should and will be featured on reading lists for years to come. It will also be valued by market participants, policymakers, and their staffs. This is because the book is very well written and brings a focus and organization to the subject that draws on the decades of experience and contributions of the authors. I especially value the synthesis of the empirical and theoretical literatures on exchange rate determination, market efficiency, the new open economy macroeconomics as well as the up to date discussion on the economics and econometrics of exchange rate forecastability. The Economics of Exchange Rates is the first essential volume on this subject in a decade' Richard Clarida, Columbia University, NBER and CEPR
'This book is a breath of fresh air. It's current. It's comprehensive. It's going to be a delight to teach from. I look forward to its success.' Richard Lyons, University of California, Berkeley
'Sarno and Taylor develop carefully all the exchange-rate research issues of the last 20 years - from historical background through modern-methods applications up to empirical results. The Economics of Exchange Rates will be indispensable on the bookshelves of academics and international policymakers.' Robert P Flood, Editor, IMF Staff Papers
'This is a text around which one can build a fine graduate-level course in international finance. The material in this text fits the needs of scholars for a state-of-the-art coverage of the best thinking on exchange rate economics. With topics like New open-economy macroeconomics and Official intervention in the foreign exchange market it should be clear that this book is broad in its scope and delves deeply into the area going well beyond the determinants of exchange rates. The authors pay careful attention to pedagogy with patient, in-text explanations of technical details like Ito's Lemma and excellent appendices on related issues, including Jensen's inequality and GMM estimators. The patient and detailed explanations of technical issues related to the core topics make the book self-contained. The authors have been on the frontiers of research in this area, and this new text clearly reflects their mastery of the subject. I highly recommend this text to both students and scholars of international finance.' Michael Melvin, Arizona State University
'This is a superb volume that should and will be featured on reading lists for years to come. It will also be valued by market participants, policymakers, and their staffs. This is because the book is very well written and brings a focus and organization to the subject that draws on the decades of experience and contributions of the authors. I especially value the synthesis of the empirical and theoretical literatures on exchange rate determination, market efficiency, the new open economy macroeconomics as well as the up to date discussion on the economics and econometrics of exchange rate forecastability. The Economics of Exchange Rates is the first essential volume on this subject in a decade' Richard Clarida, Columbia University, NBER and CEPR
'This book is a breath of fresh air. It's current. It's comprehensive. It's going to be a delight to teach from. I look forward to its success.' Richard Lyons, University of California, Berkeley
'Sarno and Taylor develop carefully all the exchange-rate research issues of the last 20 years - from historical background through modern-methods applications up to empirical results. The Economics of Exchange Rates will be indispensable on the bookshelves of academics and international policymakers.' Robert P Flood, Editor, IMF Staff Papers
Book Description
This book is a survey of exchange-rate economics, which covers the main theories which explain the determination of exchange rates and uses recent empirical data on exchange rate behaviour using the latest econometric techniques.
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Most Helpful Customer Reviews
8 of 8 people found the following review helpful:
5.0 out of 5 stars
A great book for experts,
By John Cairns "FX analyst" (South Africa) - See all my reviews
This review is from: The Economics of Exchange Rates (Paperback)
An excellent book for experts on foreign exchange, covering most of the major theories in detail. Often said to be at PHD level, which is true, but the difficult mathamatics is avoided as much as possible so is accesable to all those with a good knowledge of exchange rate theory.
14 of 22 people found the following review helpful:
5.0 out of 5 stars
Outstanding!,
By "ykad" (Lincoln, NE United States) - See all my reviews
This review is from: The Economics of Exchange Rates (Paperback)
This is a well-written and comprehensive survey of the modern international finance literature. I recommend this book to PH.D students who looking for a dissertation topic. Researchers should also have a copy of this book for reference.
1 of 11 people found the following review helpful:
5.0 out of 5 stars
The best,
By A.Lima "A.Lima" (Sao Paulo, Sao Paulo Brazil) - See all my reviews
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This review is from: The Economics of Exchange Rates (Paperback)
Sarno and Taylor placed different approachs of the Exchange Rate teory in this book.
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Inside This Book
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First Sentence:
In the last few decades or so exchange rate economics has seen a number of important developments, with substantial contributions to both the theory and the empirics of exchange rate determination. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
basic target zone model, simple efficient markets hypothesis, redux model, foreign exchange market efficiency, real exchange rate behaviour, portfolio balance channel, uncovered interest rate parity condition, sterilised intervention, simple efficiency hypothesis, chartist analysis, exchange rate determination models, transactions costs band, rational expectations forecast error, target zone models, empirical exchange rate models, target zone arrangements, correlation puzzle, market microstructure literature, real interest rate differential, recent float, foreign exchange risk premium, price monetary model, exchange rate intervention, trading intensity, exchange rate fixity Key Phrases - Capitalized Phrases (CAPs): (learn more)
Journal of International Economics, Journal of Political Economy, American Economic Review, Journal of Monetary Economics, Journal of Finance, New York, National Bureau of Economic Research, Economic Journal, Bretton Woods, International Monetary Fund Staff Papers, European Economic Review, Cambridge University Press, Working Paper, European Monetary System, Monte Carlo, Journal of Money, Handbook of International Economics, Journal of Financial Economics, Quarterly Journal of Economics, United States, Economics Letters, Journal of Business, Bank of Japan, Journal of Economic Literature, University of Chicago Press New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
In the last few decades or so exchange rate economics has seen a number of important developments, with substantial contributions to both the theory and the empirics of exchange rate determination. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
basic target zone model, simple efficient markets hypothesis, redux model, foreign exchange market efficiency, real exchange rate behaviour, portfolio balance channel, uncovered interest rate parity condition, sterilised intervention, simple efficiency hypothesis, chartist analysis, exchange rate determination models, transactions costs band, rational expectations forecast error, target zone models, empirical exchange rate models, target zone arrangements, correlation puzzle, market microstructure literature, real interest rate differential, recent float, foreign exchange risk premium, price monetary model, exchange rate intervention, trading intensity, exchange rate fixity Key Phrases - Capitalized Phrases (CAPs): (learn more)
Journal of International Economics, Journal of Political Economy, American Economic Review, Journal of Monetary Economics, Journal of Finance, New York, National Bureau of Economic Research, Economic Journal, Bretton Woods, International Monetary Fund Staff Papers, European Economic Review, Cambridge University Press, Working Paper, European Monetary System, Monte Carlo, Journal of Money, Handbook of International Economics, Journal of Financial Economics, Quarterly Journal of Economics, United States, Economics Letters, Journal of Business, Bank of Japan, Journal of Economic Literature, University of Chicago Press New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 14
books:
See all 14 books this book cites
39
books
cite this book:
See all 39 books citing this book
- The Federal Reserve System: Purposes & Functions by Board of Governors of the Federal Reserve System on 6 pages
- National Economic Policy by James Tobin on page 240, and page 261
- Financial Regulation and Monetary Arrangements After 1992 (Contributions to Economic Analysis) by C. Wihlborg on page 244, and page 263
- Private Behaviour and Government Policy in Interdependent Economies by A. S. Courakis on page 142, and page 302
- Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (Fundamentals of Pure and Applied Economics) by xxx Hodrick on page 48
See all 14 books this book cites
- Exchange Rate Economics: Theories and Evidence (Routledge Studies in the Modern World Economy) by Ronald MacDonald in Back Matter (1), Back Matter (2), and Back Matter (3)
- Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange (Financial Economics and Quantitative Analysis Series) by Keith Cuthbertson in Back Matter (1), and Back Matter (2)
- The Japanese Foreign Exchange Market (Routledge Studies in the Growth Economies of Asia) by Beate Reszat in Back Matter
- Knowledge, Information, and Expectations in Modern Macroeconomics: In Honor of Edmund S. Phelps by Philippe Aghion on page 182
- International Monetary Cooperation Among the United States, Japan, and Germany by Keisuke Iida on page 95
See all 39 books citing this book
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