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Mark N - International Macroeconomics and Finance
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- Annotation
- Preface
- Contents
- Chapter 1
- 1.1 International Financial Markets
- Foreign Exchange
- Transaction Types
- Short-Term Debt
- Covered Interest Parity
- Testing Covered Interest Parity
- Futures Contracts
- 1.2 National Accounting Relations
- Subaccounts
- 1.3 The Central Bank.s Balance Sheet
- Mechanics of Intervention
- Chapter 2
- 2.1 Unrestricted Vector Autoregressions
- Lag-Length Determination
- The Vector Moving-Average Representation
- Impulse Response Analysis
- Forecast-Error Variance Decomposition
- 2.2 Generalized Method of Moments
- 2.3 Simulated Method of Moments
- 2.4 Unit Roots
- 2.5 Panel Unit-Root Tests
- Potential Pitfalls of Panel Unit-Root Tests
- 2.6 Cointegration
- Linear Filters
- Chapter 3
- 3.1 Purchasing-Power Parity
- Cassel.s Approach
- 3.2 The Monetary Model of the Balance of Payments
- 3.3 The Monetary Model under Flexible
- Exchange Rates
- 3.4 Fundamentals and Exchange Rate Volatil-
- 3.5 Testing Monetary Model Predictions
- Long-Run Evidence for the Monetary Model from
- Panel Data
- Out-of-Sample Fit and Prediction
- Panel Long-Horizon Regression
- Monetary Model Summary
- Problems
- Chapter 4
- 4.1 The Barter Economy
- 4.2 The One-Money Monetary Economy
- 4.3 The Two-Money Monetary Economy
- 4.4 Introduction to the Calibration Method
- 4.5 Calibrating the Lucas Model
- Lucas Model Summary
- Appendix.Markov Chains
- Problems
- Chapter 5
- 5.1 Calibrating the One-Sector Growth Model
- Measurement
- Simulating the Model
- Consumption
- 5.2 Calibrating a Two-Country Model
- Measurement
- The Two-Country Model
- Quadratic Approximation
- International Real Business Cycles Summary
- Chapter 6
- 6.1 Deviations From UIP
- Hansen and Hodrick.s Tests of UIP
- Hansen-Hodrick Regression Tests of UIP
- Fama Decomposition Regressions
- 6.2 Rational Risk Premia
- 6.3 Testing Euler Equations
- Volatility Bounds
- 6.4 Apparent Violations of Rationality
- Properties of Survey Expectations
- 6.5 The .Peso Problem.
- A Simple .Peso-Problem. Example.
- Lewis.s .Peso-Problem. with Bayesian Learning
- 6.6 Noise-Traders
- The Model
- A Fundamentals (µ = 1) Economy
- A Noise Trader (µ < 1) Economy
- Properties of the Solution
- Foreign Exchange Market Efficiency Summary
- Problems
- Chapter 7
- 7.1 Some Preliminary Issues
- 7.2 Deviations from the Law-Of-One Price
- Isard.s Study of the Law-Of-One Price
- What About the Long-Run?
- 7.3 Long-Run Determinants of the Real
- Exchange Rate
- The Balassa.Samuelson Model
- Cobb-Douglas production functions
- 7.4 Long-Run Analyses of Real Exchange Rates
- Univariate Tests for PPP Over Long Time Spans
- Size Distortion in Unit-Root Tests
- Real Exchange Rate Summary
- Problems
- Chapter 8
- 8.1 A Static Mundell-Fleming Model
- Adjustment under Fixed Exchange Rates
- 8.2 Dornbusch.s DynamicMundell.Fleming
- Model
- Steady-State Equilibrium
- Exchange rate dynamics
- 8.3 A StochasticMundell.FlemingModel
- 8.4 VAR analysis of Mundell.Fleming
- The Eichenbaum and Evans VAR
- Clarida-Gali Structural VAR
- To summarize
- Mundell-Fleming Models Summary
- Appendix: Solving the Dornbusch Model
- Problems
- Chapter 9
- 9.1 The Redux Model
- The Steady State
- Long-Run Response
- Short-Run Adjustment under Sticky Prices
- Monetary Shocks
- 9.2 Pricing to Market
- Full Pricing-To-Market
- Long-Run Response
- Adjustment to Monetary Shocks under Sticky Prices
- New International Macroeconomics Summary
- Problems
- Chapter 10
- 10.1 Fundamentals of Stochastic Calculus
- 10.2 The Continuous.Time Monetary Model
- 10.3 InÞnitesimal Marginal Intervention
- Estimating and Testing the Krugman Model
- 10.4 Discrete Intervention
- 10.5 Eventual Collapse
- 10.6 Imperfect Target-Zone Credibility
- Target-zone Summary
- Chapter 11
- 11.1 A First-Generation Model
- Flood.Garber Deterministic Crises
- A stochastic Þrst-generation model.
- 11.2 A Second Generation Model
- Obstfeld.s Multiple Devaluation Threshold Model
- Optimal Exchange Rate Management
- Fixed Exchange Rates
- Balance of Payments Crises Summary
- Bibliography
- Author Index
- Subject Index
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