International macroeconomics and finance: theory and econometric methods
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Malden, Mass. [u.a.]
Blackwell Publ.
2001
|
| Edition: | 1. publ. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Hier auch später erschienene, unveränderte Nachdrucke |
| Physical Description: | XI, 283 S. graph. Darst. |
| ISBN: | 0631222871 063122288X 9780631222880 |
Staff View
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Record in the Search Index
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| adam_text | I Contents
Preface ix
1 Some institutional background 1
1.1 International financial markets 1
1.2 National accounting relations 11
1.3 The central bank s balance sheet 15
2 Some useful time series methods 17
2.1 Unrestricted vector autoregressions 18
2.2 The generalized method of moments 26
2.3 The simulated method of moments 29
2.4 Unit roots 31
2.5 Panel unit root tests 39
2.6 Cointegration 49
2.7 Filtering 52
3 The monetary model 62
3.1 Purchasing power parity 62
3.2 The monetary model of the balance of payments 65
vi Contents
3.3 The monetary model under flexible exchange rates 67
3.4 Fundamentals and exchange rate volatility 70
3.5 Testing monetary model predictions 73
Problems 80
4 The Lucas model 82
4.1 The barter economy 83
4.2 The one money monetary economy 88
4.3 The two money monetary economy 92
4.4 An introduction to the calibration method 96
4.5 Calibrating the Lucas model 98
Appendix: Markov chains 104
Problems 106
5 International real business cycles 107
5.1 Calibrating the one sector growth model 107
5.2 Calibrating a two country model 118
6 Foreign exchange market efficiency 127
6.1 Deviations from UIP 128
6.2 Rational risk premia 136
6.3 Testing Euler equations 139
6.4 Apparent violations of rationality 143
6.5 The peso problem 146
6.6 Noise traders 152
Problems 159
7 The real exchange rate 163
7.1 Some preliminary issues 164
7.2 Deviations from the law of one price 164
7.3 Long run determinants of the real exchange rate 167
Contents vii
7.4 Long run analyses of real exchange rates 170
Problem 178
8 The Mundell Fleming model 179
8.1 A static Mundell Fleming model 179
8.2 Dornbusch s dynamic Mundell Fleming model 185
8.3 A stochastic Mundell Fleming model 189
8.4 VAR analysis of Mundell Fleming 194
Appendix: Solving the Dornbusch model 200
Problems 203
9 The new international macroeconomics 205
9.1 The Redux model 206
9.2 Pricing to market 224
Problems 238
10 Target zone models 240
10.1 Fundamentals of stochastic calculus 240
10.2 The continuous time monetary model 243
10.3 Infinitesimal marginal intervention 245
10.4 Discrete intervention 250
10.5 Eventual collapse 252
10.6 Imperfect target zone credibility 253
11 Balance of payments crises 256
11.1 A first generation model 257
11.2 A second generation model 262
Bibliography 270
Author index 277
Subject index 279
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| callnumber-raw | HG3881.M3334 2001 |
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| spelling | Mark, Nelson C. 1955- Verfasser (DE-588)128758945 aut International macroeconomics and finance theory and econometric methods Nelson C. Mark 1. publ. Malden, Mass. [u.a.] Blackwell Publ. 2001 XI, 283 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Hier auch später erschienene, unveränderte Nachdrucke Econometrie gtt Finances internationales Internationale financiën gtt Macro-economie gtt Macro-économie Wiskundige modellen gtt Wisselkoersen gtt Économétrie International finance Macroeconomics Econometrics Weltwirtschaft (DE-588)4065468-0 gnd rswk-swf Internationaler Kreditmarkt (DE-588)4120506-6 gnd rswk-swf Makroökonomisches Modell (DE-588)4074486-3 gnd rswk-swf Geldtheorie (DE-588)4121333-6 gnd rswk-swf Außenwirtschaftstheorie (DE-588)4120953-9 gnd rswk-swf Monetäre Außenwirtschaftstheorie (DE-588)4724045-3 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Außenwirtschaftstheorie (DE-588)4120953-9 s Geldtheorie (DE-588)4121333-6 s DE-604 Monetäre Außenwirtschaftstheorie (DE-588)4724045-3 s DE-188 Weltwirtschaft (DE-588)4065468-0 s Internationaler Kreditmarkt (DE-588)4120506-6 s Makroökonomisches Modell (DE-588)4074486-3 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009526767&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Mark, Nelson C. 1955- International macroeconomics and finance theory and econometric methods Econometrie gtt Finances internationales Internationale financiën gtt Macro-economie gtt Macro-économie Wiskundige modellen gtt Wisselkoersen gtt Économétrie International finance Macroeconomics Econometrics Weltwirtschaft (DE-588)4065468-0 gnd Internationaler Kreditmarkt (DE-588)4120506-6 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Geldtheorie (DE-588)4121333-6 gnd Außenwirtschaftstheorie (DE-588)4120953-9 gnd Monetäre Außenwirtschaftstheorie (DE-588)4724045-3 gnd |
| subject_GND | (DE-588)4065468-0 (DE-588)4120506-6 (DE-588)4074486-3 (DE-588)4121333-6 (DE-588)4120953-9 (DE-588)4724045-3 (DE-588)4123623-3 |
| title | International macroeconomics and finance theory and econometric methods |
| title_auth | International macroeconomics and finance theory and econometric methods |
| title_exact_search | International macroeconomics and finance theory and econometric methods |
| title_full | International macroeconomics and finance theory and econometric methods Nelson C. Mark |
| title_fullStr | International macroeconomics and finance theory and econometric methods Nelson C. Mark |
| title_full_unstemmed | International macroeconomics and finance theory and econometric methods Nelson C. Mark |
| title_short | International macroeconomics and finance |
| title_sort | international macroeconomics and finance theory and econometric methods |
| title_sub | theory and econometric methods |
| topic | Econometrie gtt Finances internationales Internationale financiën gtt Macro-economie gtt Macro-économie Wiskundige modellen gtt Wisselkoersen gtt Économétrie International finance Macroeconomics Econometrics Weltwirtschaft (DE-588)4065468-0 gnd Internationaler Kreditmarkt (DE-588)4120506-6 gnd Makroökonomisches Modell (DE-588)4074486-3 gnd Geldtheorie (DE-588)4121333-6 gnd Außenwirtschaftstheorie (DE-588)4120953-9 gnd Monetäre Außenwirtschaftstheorie (DE-588)4724045-3 gnd |
| topic_facet | Econometrie Finances internationales Internationale financiën Macro-economie Macro-économie Wiskundige modellen Wisselkoersen Économétrie International finance Macroeconomics Econometrics Weltwirtschaft Internationaler Kreditmarkt Makroökonomisches Modell Geldtheorie Außenwirtschaftstheorie Monetäre Außenwirtschaftstheorie Lehrbuch |
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