On Exchange Rates

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These seventeen essays provide an accessible and thorough reference for understanding the role of exchange rates in the international monetary system since 1973, when the rates were allowed to float. The essays analyze such issues as exchange rate movements, exchange risk premia, investor expectations of exchange rates and behavior of exchange rates in different systems. Frankel's sound empirical treatment of exchange rate questions shows that it is possible to produce work that is interesting from a purely intellectual viewpoint while contributing to practical knowledge of the real world of international economics and finance.The essays have been organized in a way that provides an introduction to the field of empirical international finance. Part I documents the steady reduction in barriers to international capital movement and leads logically to part II, which explains how exchange rates are determined. Both monetary and portfolio-based models are surveyed in part II, providing a clear transition to the topic of part III; the possible existence of an exchange risk premium. Part IV applies the tools discussed in earlier sections to explore various policy questions related to exchange rate expectations such as whether foreign exchange intervention matters and whether the European monetary system had become credible by 1991. Each part begins with a detailed introduction explaining not only the central issues of that section but also suggesting connections with other essays in the book.Jeffrey A. Frankel is Professor of Economics at the University of California, Berkeley.

 

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Contents

Quantifying International Capital Mobility in the 1980s
41
Introduction
73
Monetary and PortfolioBalance Models of the Determination
95
An Explanation
117
The 198185 Dollar
135
The Search for Perfect
173
Introduction
185
The Diversifiability of Exchange Risk
205
Is It an Exchange Risk Premium?
245
The Expectations
295
Chartists Fundamentalists and Trading in the Foreign Exchange
317
An Empirical Assessment
327
Credible in 19881991?
347
Notes
361
References
399
Index
431

A SixCurrency Test
219
Recent Estimates of TimeVariation in the Conditional Variance
235

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Page 416 - News from the US and Japan: which moves the yen/dollar exchange rate?, Journal of Monetary Economics, 19, 255-77.

About the author (1993)

Jeffrey A. Frankel is James W. Harpel Professor of Capital Formation and Economic Growth at Harvard University's John F. Kennedy School of Government and a Research Associate at the National Bureau of Economic Research.

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