Handbook of Exchange Rates torrent

ABOUT THIS BOOK

Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.


TABLE OF CONTENTS
Preface xxiii

Contributors xxvii

1 Foreign Exchange Market Structure, Players, and Evolution 3
2 Macro Approaches to Foreign Exchange Determination 45
3 Micro Approaches to Foreign Exchange Determination 73
4 The Exchange Rate in a Behavioral Finance Framework 111
5 The Evolution of Exchange Rate Regimes and Some Future Perspectives 133
6 Purchasing Power Parity in Economic History 161
7 Purchasing Power Parity in Tradable Goods 189
8 Statistical and Economic Methods for Evaluating Exchange Rate Predictability 221
9 When Are Pooled Panel-Data Regression Forecasts of Exchange Rates More Accurate than the Time-Series Regression Forecasts? 265
10 Carry Trades and Risk 283
11 Currency Fair Value Models 313
12 Technical Analysis in the Foreign Exchange Market 343
13 Modeling Exchange Rates with Incomplete Information 375
14 Exchange Rates in a Stochastic Discount Factor Framework 391
15 Volatility and Correlation Timing in Active Currency Management 421
16 Active Currency Management Part I: Is There a Premium for Currency Investing (Beta) 453
17 Active Currency Management Part II: Is There Skill or Alpha in Currency Investing? 471
18 Currency Hedging for International Bond and Equity Investors 503
19 FX Reserve Management 545
20 High Frequency Finance: Using Scaling Laws to Build Trading Models 563
21 Algorithmic Execution in Foreign Exchange 585
22 Foreign Exchange Strategy Based Products 599
23 Foreign Exchange Futures, Forwards, and Swaps 623
24 FX Options and Volatility Derivatives: An Overview from the Buy-Side
25 A Common Framework for Thinking about Currency Crises 699
26 Official Intervention in the Foreign Exchange Market 717
27 Exchange Rate Misalignment—The Case of the Chinese Renminbi 751
28 Choosing an Exchange Rate Regime 767

References, 781

Index 785


AUTHORS
JESSICA JAMES, PhD, is a Managing Director and Co-Head of the Quantitative Solution Team at Commerzbank in London, where she is responsible for FX client risk advisory. She has published on the topics of credit derivatives and total return swaps and is the coauthor of Interest Rate Modelling (Wiley).

IAN W. MARSH, PhD, is Professor of Finance in the Cass Business School at City University London. Dr. Marsh has extensive consulting experience with companies including JPMorgan Chase, Morley Fund Managment, and the Royal Bank of Scotland. He currently focuses his research on credit risk transfer markets and the foreign exchange market.

LUCIO SARNO, PhD, is Associate Dean, Head of Faculty, and Professor of Finance in the Cass Business School at City University London. Dr. Sarno has extensive industry experience in consulting and trading foreign exchange for several major asset management companies and has contributed to policy, training, and research for the International Monetary Fund, the European Central Bank, and the World Bank.