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Informationen zum Autor 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. Klappentext Praise for Handbook of Exchange Rates"This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field."--Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley"It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips."--Jim O'Neill, Chairman, Goldman Sachs Asset ManagementHow should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today's international economic climate.Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections:* Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination.* Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow-based models.* FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products.* FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises.Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts.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. Zusammenfassung This handbook provides practitioners with a collection of original ideas on foreign exchange rates, and provides the necessary background on relevant concepts, risks, and policies for working in today's international economic climate. Inhaltsverzeichnis Preface xxiii Contributors xxvii part one Overview 1 Foreign Exchange Market Structure, Players, and Evolution 3 1.1 Introduction, 3 1.2 Geography and Composition of Currency Trading, 4 1.2.1 Whi...
List of contents
Preface xxiii
Contributors xxvii
part one Overview
1 Foreign Exchange Market Structure, Players, and Evolution 3
1.1 Introduction, 3
1.2 Geography and Composition of Currency Trading, 4
1.3 Players and Information in FX Markets, 11
1.4 Electronic Trading Revolution in FX Markets, 21
1.5 Survey of Multibank FX Platforms, 35
1.6 Summary, 38
Glossary, 39
Acknowledgments, 41
References, 42
2 Macro Approaches to Foreign Exchange Determination 45
2.1 Introduction, 45
2.2 Models of the Nominal Exchange Rate, 46
2.3 Real Models of the Real Exchange Rate, 54
2.4 New Directions in Exchange-Rate Modeling, 60
2.5 Conclusions, 65
Acknowledgments, 65
References, 66
3 Micro Approaches to Foreign Exchange Determination 73
3.1 Introduction, 73
3.2 Perspectives on Spot-Rate Dynamics, 74
3.3 Currency Trading Models and their Implications, 80
3.4 Exchange Rates, Order Flows, and the Macro Economy, 95
3.5 Conclusion, 105
Appendix, 105
3.6 Acknowledgment, 108
References, 108
4 The Exchange Rate in a Behavioral Finance Framework 111
4.1 Introduction, 111
4.2 Exchange Rate Puzzles, 114
4.3 A Prototype Behavioral Model of the Foreign Exchange Market, 122
4.4 Conclusion, 127
References, 129
5 The Evolution of Exchange Rate Regimes and Some Future Perspectives 133
5.1 Introduction, 133
5.2 A Brief History of Currency Regimes, 135
5.3 Performance of the Laisser-Faire Exchange Rate System, 1973-2010, 138
5.4 Trends in Currency Use, 141
5.5 Prospects for the Future, 144
5.6 Concluding Comments, 153
Appendix A: A Formal Test of Hollowing Out, 154
References, 156
part two Exchange Rate Models and Methods
6 Purchasing Power Parity in Economic History 161
6.1 Introduction, 161
6.2 Categorization of Purchasing-Power-Parity Theories, 162
6.3 Historical Application of PPP: Premodern Periods, 163
6.4 Techniques of Testing PPP Theory in Economic-History Literature, 165
6.5 Price Variable in PPP Computations, 168
6.6 Modern Period: Testing of PPP, 169
6.7 Analysis of U.S. Return to Gold Standard in 1879, 177
6.8 Establishment and Assessment of a Fixed Exchange Rate in Interwar Period, 177
6.9 Conclusions, 180
References, 181
7 Purchasing Power Parity in Tradable Goods 189
7.1 Introduction, 189
7.2 The LOP and Price Indices, 190
7.3 Empirical Evidence on the LOP, 194
7.4 Purchasing Power Parity, 200
7.5 Aggregating from the LOP to PPP: What Can We Infer? 205
7.6 Conclusion and Implications, 213
Appendix: TAR Modeling, 214
Acknowledgments, 215
References, 215
8 Statistical and Economic Methods for Evaluating Exchange Rate Predictability 221
8.1 Introduction, 221
8.2 Models for Exchange Rate Predictability, 224
8.3 Statistical Evaluation of Exchange Rate Predictability, 228
8.4 Economic Evaluation of Exchange Rate Predictability, 231
8.5 Combined Forecasts, 235
8.6 Empirical Results, 237
8.7 Conclusion, 256
Appendix A: The Bootstrap Algorithm, 259
Acknowledgments, 260
References, 260
9 When Are Pooled Panel-Data Regression Forecasts of Exchange Rates More Accurate than the T
