Currency forecasting: a guide to fundamental and technical models of exchange rate determination
Currency Forecasting, the most authoritative work on the subject, explains every major method and aspect of exchange rate forecasting, from purchasing power to party to asset market models to technical analysis. Written by Michael Rosenberg, an acclaimed expert in the field, this book blends theoret...
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chicago [u.a.]
Irwin
1996
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| Subjects: | |
| Online Access: | Publisher description Inhaltsverzeichnis |
| Summary: | Currency Forecasting, the most authoritative work on the subject, explains every major method and aspect of exchange rate forecasting, from purchasing power to party to asset market models to technical analysis. Written by Michael Rosenberg, an acclaimed expert in the field, this book blends theoretical discussions with the day-to-day strategies used by top traders. Currency Forecasting advocates an approach that combines fundamental and technical analysis and provides you with an organized and structured framework that will assist you in formulating more effective currency investing strategies. |
| Physical Description: | XII, 388 S. graph. Darst. |
| ISBN: | 1557389187 |
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MARC
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| 520 | 3 | |a Currency Forecasting, the most authoritative work on the subject, explains every major method and aspect of exchange rate forecasting, from purchasing power to party to asset market models to technical analysis. Written by Michael Rosenberg, an acclaimed expert in the field, this book blends theoretical discussions with the day-to-day strategies used by top traders. Currency Forecasting advocates an approach that combines fundamental and technical analysis and provides you with an organized and structured framework that will assist you in formulating more effective currency investing strategies. | |
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Record in the Search Index
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| adam_text | Contents
Preface xi
Chapter One
INTRODUCTION 1
Getting the Currency Right 2
Organization of the Book 5
Chapter Two
PURCHASING POWER PARITY 8
Introduction 8
The Law of One Price and the Absolute and Relative
Versions of Purchasing Power Parity 12
Frequent Problems Encountered Calculating PPP 15
Purchasing Power Parity: The Adjustment Process 18
How Well Has PPP Worked: The Historical Track Record 20
PPP and Exchange Rate Policy 25
PPP and Investment Strategy 26
Conclusion 28
Chapter Three
EXTERNAL BALANCE AND THE EQUILIBRIUM
REAL EXCHANGE RATE 31
Introduction 31
Purchasing Power Parity and External Balance 34
Productivity Changes and the Equilibrium Real
Exchange Rate 40
Changes in Government Spending and the Equilibrium Real
Exchange Rate 45
Terms of Trade Shocks and the Equilibrium Real
Exchange Rate 47
V
vi Contents
Krugman s 45 Degree Rule and the Trend in Equilibrium
Real Exchange Rates 52
Estimating Equilibrium Real Exchange Rates 55
Sustainability of Exchange Rate Misalignments 59
Conclusion 64
Chapter Four
THE BALANCE OF PAYMENTS FLOW
APPROACH TO EXCHANGE RATE
DETERMINATION 68
Introduction 68
The Balance of Payments Flow Model: The Role of Trade
Flows in Exchange Rate Determination 69
The Current Account Balance/Exchange Rate Connection 73
Alternative Explanations of the Linkage between
Current Account and Exchange Rate Trends 75
Capital Flows and Exchange Rate Determination 77
A Mathematical Formulation of the BOP Flow Model
of Exchange Rate Determination 87
Stock Flow Interaction 88
Chapter Five
THE MUNDELL FLEMING MODEL AND THE
DETERMINATION OF EXCHANGE RATES 93
Introduction 93
The Mundel Fleming Model 95
The IS LM Model of a Closed Economy 96
The IS LM BP Model of an Open Economy 99
Monetary Policy Under Fixed Exchange Rates 107
The ERM Crisis of 1992 93: A Case Study of the Inability
of Central Banks to Pursue Independent Monetary Policies
under Fixed Exchange Rates 111
Monetary Policy under Floating Exchange Rates 113
Monetary Policy and the Determination of Exchange Rates 118
Fiscal Policy under Fixed Exchange Rates 118
Contents vii
Fiscal Policy under Floating Exchange Rates 123
Fiscal Policy and the Determination of Exchange Rates 129
The Monetary/Fiscal Policy Mix and the Determination of
Exchange Rates 130
Economic Model Simulations of Monetary and Fiscal
Policy s Impact on Exchange Rates 133
Conclusion 135
Chapter Six
THE MONETARY APPROACH TO EXCHANGE
RATE DETERMINATION 138
Introduction 138
Monetary Models of Exchange Rate Determination 140
The Flexible Price Monetary Model 140
The Sticky Price Monetary Model 148
The Real Interest Rate Differential Monetary Model 153
The Hooper Morton Equilibrium Real Exchange
Rate Model 156
The Girton Roper Monetary Model of Exchange
Market Pressure 157
Empirical Evidence on the Monetary Approach to Exchange
Rate Determination 157
Conclusion 162
Chapter Seven
CURRENCY SUBSTITUTION AND EXCHANGE
RATE DETERMINATION 165
Introduction 165
Currency Substitution Defined 166
The Role of Currency Substitution in an Extended Monetary
Model of Exchange Rate Determination 169
Currency Substitution and the Future Role of the US Dollar 174
Currency Substitution and Exchange Rate Policy 179
Empirical Evidence 183
vjjj Contents
Chapter Eight
THE PORTFOLIO BALANCE APPROACH TO
EXCHANGE RATE DETERMINATION 186
Introduction 186
The Portfolio Balance Model: Short Run Determination
of Exchange Rates 188
Monetary Policy and Exchange Rate Determination 190
Fiscal Policy and Exchange Rate Determination 192
The Monetary/Fiscal Policy Mix and Exchange
Rate Determination 193
Current Account Imbalances and Exchange
Rate Determination 195
The Portfolio Balance Model: Exchange Rate Dynamics and
Long Run Equilibrium 197
Recasting the Portfolio Model into a Risk Premium
Framework 199
The Monetary and Portfolio Balance Approaches:
A Synthesis 202
Empirical Evidence 204
Conclusion 205
Chapter Nine
REAL INTEREST RATE DIFFERENTIALS AND
THE DETERMINATION OF EXCHANGE RATES 208
Introduction 208
Real Interest Rate Differentials and International Capital
Movements 210
The Real Interest Rate Differential Model of Exchange
Rate Determination 215
Real Interest Rate Differential Model: Empirical Evidence 222
Real Interest Rate Differentials and the Dollar in the 1980s 227
Was the Dollar s Rise in the Early 1980s Attributable
to a Rise in Its Long Run Equilibrium Level? 228
Was the Excess Return on Dollar Assets in the Early 1980s
Attributable to an Upward Revision in the Risk Premium
on Dollar Assets? 230
Contents ix
Was the Dollar s Rise in the Early 1980s Attributable
to a Rational Speculative Bubble? 231
Was the Dollar s Rise in 1984 85 Attributable to an
Irrational Speculative Bubble? 232
Chapter Ten
FISCAL POLICY AND THE DETERMINATION
OF EXCHANGE RATES 236
Introduction 237
Fiscal Policy and Exchange Rates: The Channels
of Influence 238
Analyzing Fiscal Policy s Impact on Exchange Rates in the
Mundell Fleming Model 239
Fiscal Policy and the Real Interest Rate Differential Model
of Exchange Rate Determination 243
Debt Accumulation and the Risk Premium 248
Fiscal Policy and Exchange Rates in the Long Run: The
Dynamics of Debt Accumulation 251
Fiscal Policy and the Real Long Run Equilibrium
Exchange Rate 256
Ricardian Equivalence 261
Fiscal Policy and Exchange Rates: The Empirical Evidence 262
Conclusion 272
Chapter Eleven
CENTRAL BANK INTERVENTION AND THE
DETERMINATION OF EXCHANGE RATES 276
Introduction 276
The Case for Exchange Rate Management 278
Central Bank Intervention: Objectives and Tactics 281
Coordinated Intervention of the G 7 287
Central Bank Intervention: The Channels of Influence 294
The Balance of Payments Flow Channel 296
The Monetary Channel 297
The Portfolio Balance Channel 300
x Contents
The Signalling Channel 305
The Noise Trading Channel 310
Effectiveness of Central Bank Intervention: The Empirical
Evidence 315
Conclusion 319
Chapter Twelve
CURRENCY FORECASTING USING
TECHNICAL ANALYSIS 324
Introduction 324
Technical Analysis: The Identification of Market Trends
and Reversals 329
Efficient Market Critique 346
Technical Analysis: The Empirical Evidence 347
Why Technical Models Have Worked in the Past 362
Conclusion 373
Chapter Thirteen
CONCLUSION 376
Index 383
|
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| discipline | Wirtschaftswissenschaften |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T17:58:04Z |
| institution | BVB |
| isbn | 1557389187 |
| language | English |
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| spelling | Rosenberg, Michael Roy 1947- Verfasser (DE-588)124991122 aut Currency forecasting a guide to fundamental and technical models of exchange rate determination Michael R. Rosenberg Chicago [u.a.] Irwin 1996 XII, 388 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Currency Forecasting, the most authoritative work on the subject, explains every major method and aspect of exchange rate forecasting, from purchasing power to party to asset market models to technical analysis. Written by Michael Rosenberg, an acclaimed expert in the field, this book blends theoretical discussions with the day-to-day strategies used by top traders. Currency Forecasting advocates an approach that combines fundamental and technical analysis and provides you with an organized and structured framework that will assist you in formulating more effective currency investing strategies. Mathematisches Modell Foreign exchange rates -- Mathematical models Foreign exchange -- Forecasting -- Mathematical models Wechselkurs (DE-588)4064921-0 gnd rswk-swf Prognoseverfahren (DE-588)4358095-6 gnd rswk-swf Wechselkurs (DE-588)4064921-0 s Prognoseverfahren (DE-588)4358095-6 s DE-604 http://www.loc.gov/catdir/description/mh022/95024868.html Publisher description HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007170909&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Rosenberg, Michael Roy 1947- Currency forecasting a guide to fundamental and technical models of exchange rate determination Mathematisches Modell Foreign exchange rates -- Mathematical models Foreign exchange -- Forecasting -- Mathematical models Wechselkurs (DE-588)4064921-0 gnd Prognoseverfahren (DE-588)4358095-6 gnd |
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| title | Currency forecasting a guide to fundamental and technical models of exchange rate determination |
| title_auth | Currency forecasting a guide to fundamental and technical models of exchange rate determination |
| title_exact_search | Currency forecasting a guide to fundamental and technical models of exchange rate determination |
| title_full | Currency forecasting a guide to fundamental and technical models of exchange rate determination Michael R. Rosenberg |
| title_fullStr | Currency forecasting a guide to fundamental and technical models of exchange rate determination Michael R. Rosenberg |
| title_full_unstemmed | Currency forecasting a guide to fundamental and technical models of exchange rate determination Michael R. Rosenberg |
| title_short | Currency forecasting |
| title_sort | currency forecasting a guide to fundamental and technical models of exchange rate determination |
| title_sub | a guide to fundamental and technical models of exchange rate determination |
| topic | Mathematisches Modell Foreign exchange rates -- Mathematical models Foreign exchange -- Forecasting -- Mathematical models Wechselkurs (DE-588)4064921-0 gnd Prognoseverfahren (DE-588)4358095-6 gnd |
| topic_facet | Mathematisches Modell Foreign exchange rates -- Mathematical models Foreign exchange -- Forecasting -- Mathematical models Wechselkurs Prognoseverfahren |
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