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Handbook of Exchange Rates

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作者：Jessica James 著

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出版时间：an imprint of John Wiley & Sons Ltd) (2012年7月24日

I S B N：9780470768839

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Handbook of Exchange Rates

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作者简介

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.

作者简介

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 Which Currencies are Traded? 6 1.2.2 What Instruments are Traded? 9 1.2.3 How is Trading Regulated? 9 1.3 Players and Information in FX Markets, 11 1.3.1 Who Needs Liquidity? 12 1.3.2 Who Provides Liquidity? 15 1.3.3 Asymmetric Information and Exchange Rate Determination, 19 1.4 Electronic Trading Revolution in FX Markets, 21 1.4.1 The Telephone Era, 22 1.4.2 The Rise of the Computer, 22 1.4.3 Recent Developments in Electronic Trading, 30 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 2.2.1 The Monetary Model, 46 2.2.2 Portfolio Balance Models, 49 2.2.3 Empirical Evidence, 51 2.3 Real Models of the Real Exchange Rate, 54 2.3.1 Purchasing Power Parity, 55 2.3.2 Balassa--Samuelson and Productivity-Based Models, 56 2.3.3 Two-Good Models, 59 2.4 New Directions in Exchange-Rate Modeling, 60 2.4.1 Taking Reaction Functions Seriously, 60 2.4.2 The Impact of Financial Globalization, 63 2.4.3 The Risk Premium and Order Flow, 64 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 3.2.1 Decomposition of Depreciation Rates, 74 3.2.2 Macro- and Microperspectives, 77 3.3 Currency Trading Models and their Implications, 80 3.3.1 The Portfolio Shifts Model, 81 3.3.2 Empirical Implications, 88 3.4 Exchange Rates, Order Flows, and the Macro Economy, 95 3.4.1 A Micro-Based Macro model, 96 3.4.2 Empirical Implications, 100 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 4.1.1 Mainstream Exchange Rate Models, 111 4.1.2 Away from the Mainstream, 113 4.2 Exchange Rate Puzzles, 114 4.2.1 Disconnect Puzzle and Excess Volatility Puzzle, 114 4.2.2 Unit Root Property, 115 4.2.3 Volatility Clustering, 118 4.2.4 Fat-Tailed Distributed Exchange Rate Returns, 119 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 5.3.1 Market Discipline, 139 5.3.2 Economic Policy Coordination, 140 5.3.3 Integration of Emerging Market Countries into the Global Economy, 140 5.4 Trends in Currency Use, 141 5.4.1 Global Imbalances and the Financial Crisis of 2007--2009, 143 5.5 Prospects for the Future, 144 5.5.1 The Current System, 144 5.5.2 Toward a more Managed International Monetary System? 146 5.5.3 How and When Will Reform Occur? 150 5.5.4 A Global Nominal Anchor? 151 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 6.3.1 Ancient Period, 163 6.3.2 Medieval Period, 164 6.3.3 Sixteenth-Century Spain, 165 6.4 Techniques of Testing PPP Theory in Economic-History Literature, 165 6.4.1 Comparative-Static Computation, 165 6.4.2 Regression Analysis, 165 6.4.3 Testing for Causality, 165 6.4.4 Nonstationarity and Spurious Regression, 166 6.4.5 Testing for Stationarity, 167 6.4.6 Cointegration Analysis, 167 6.5 Price Variable in PPP Computations, 168 6.6 Modern Period: Testing of PPP, 169 6.6.1 Early North America, 169 6.6.2 Bullionist Periods, 170 6.6.3 Floating Rates--Second-Half of Nineteenth Century, 171 6.6.4 Classic Metallic Standards, 172 6.6.5 World War I, 172 6.6.6 Floating Rates--1920s, 173 6.6.7 1930s, 175 6.6.8 Interwar Period, 175 6.6.9 Spain--Long Term, 176 6.6.10 Guatemala--Long Term, 176 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 6.8.1 United Kingdom, 177 6.8.2 France, 179 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 7.3.1 Early Tests of the LOP, 194 7.3.2 The Border Effect, 194 7.3.3 Barriers to Arbitrage and Nonlinearities, 195 7.3.4 The Tradable Versus Nontradable Goods Dichotomy, 198 7.3.5 The Aggregation Bias and Micro Price Studies, 199 7.4 Purchasing Power Parity, 200 7.4.1 Transitory and Structural Disparities from Parity, 203 7.5 Aggregating from the LOP to PPP: What Can We Infer? 205 7.5.1 An Eyeball Analysis of PPP, 207 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 8.2.1 A Present Value Model for Exchange Rates, 224 8.2.2 Predictive Regressions, 226 8.3 Statistical Evaluation of Exchange Rate Predictability, 228 8.4 Economic Evaluation of Exchange Rate Predictability, 231 8.4.1 The Dynamic FX Strategy, 231 8.4.2 Mean-Variance Dynamic Asset Allocation, 231 8.4.3 Performance Measures, 232 8.4.4 Transaction Costs, 234 8.5 Combined Forecasts, 235 8.6 Empirical Results, 237 8.6.1 Data on Exchange Rates and Economic Fundamentals, 237 8.6.2 Predictive Regressions, 242 8.6.3 Statistical Evaluation, 244 8.6.4 Economic Evaluation, 249 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 Time-Series Regression Forecasts? 265 9.1 Introduction, 265 9.2 Panel Data Exchange Rate Determination Studies, 267 9.3 Asymptotic Consequences of Pooling, 268 9.3.1 Predictive Regression Estimated on Full Sample, 268 9.3.2 Out-of-Sample Prediction, 271 9.4 Monte Carlo Study, 272 9.5 An Illustration with Data, 275 9.6 Conclusions, 278 References, 279 10 Carry Trades and Risk 283 10.1 Introduction, 283 10.2 The Carry Trade: Basic Facts, 285 10.2.1 What is a Carry Trade? 285 10.2.2 Measuring the Returns to the Carry Trade, 286 10.3 Pricing the Returns to the Carry Trade, 290 10.4 Empirical Findings, 293 10.4.1 Traditional Risk Factors, 293 10.4.2 Factors Derived from Currency Returns, 299 10.5 Time-Varying Risk and Rare Events, 308 10.6 Conclusion, 311 Acknowledgments, 311 References, 311 11 Currency Fair Value Models 313 11.1 Introduction, 313 11.2 Models/Taxonomy, 315 11.2.1 "Adjusted PPP": Harrod-Balassa-Samuelson and Penn Effects, 315 11.2.2 The Behavioral Equilibrium Exchange Rate Family of Models, 316 11.2.3 The Underlying Balance (UB) Approach, 320 11.2.4 External Sustainability (ES) Approach, 324 11.2.5 The Natural Real Exchange Rate (NATREX), 325 11.2.6 The Indirect Fair Value (IFV), 325 11.3 Implementation Choices and Model Characteristics, 328 11.3.1 Horizon/Frequency, 329 11.3.2 Direct Econometric Estimation Versus "Methods of Calculation", 331 11.3.3 Treatment of External Imbalances , 332 11.3.4 Real Versus Nominal Exchange Rates, 333 11.3.5 Bilateral Versus Effective Exchange Rate, 333 11.3.6 Time Series Versus Cross Section or Panel, 336 11.3.7 Model Maintenance, 336 11.4 Conclusion, 337 Acknowledgments, 338 References, 339 12 Technical Analysis in the Foreign Exchange Market 343 12.1 Introduction, 343 12.2 The Practice of Technical Analysis, 345 12.2.1 The Philosophy of Technical Analysis, 345 12.2.2 Types of Technical Analysis, 346 12.3 Studies of Technical Analysis in the Foreign Exchange Market, 350 12.3.1 Why Study Technical Analysis? 350 12.3.2 Survey Evidence on the Practice of Technical Analysis, 350 12.3.3 Computing Signals and Returns, 351 12.3.4 Early Studies: Skepticism before the Tide Turns, 353 12.3.5 Pattern Recognition, Intraday Data, and Other Exchange Rates, 353 12.4 Explaining The Success of Technical Analysis, 355 12.4.1 Data Snooping, Publication Bias, and Data Mining, 355 12.4.2 Temporal Variation in Trading Rule Returns, 357 12.4.3 Do Technical Trading Returns Compensate Investors for Bearing Risk? 359 12.4.4 Does Foreign Exchange Intervention Create Trading Rule Profits? 361 12.4.5 Do Cognitive Biases Create Trading Rule Profits? 363 12.4.6 Do Markets Adapt to Arbitrage Away Trading Rule Profits? 365 12.5 The Future of Research on Technical Analysis, 366 12.6 Conclusion, 367 Acknowledgments, 368 References, 368 13 Modeling Exchange Rates with Incomplete Information 375 13.1 Introduction, 375 13.2 Basic Monetary Model, 376 13.3 Information Heterogeneity, 379 13.4 Model Uncertainty, 381 13.5 Infrequent Decision Making, 385 13.6 Conclusion, 388 Acknowledgments, 388 References, 389 14 Exchange Rates in a Stochastic Discount Factor Framework 391 14.1 Introduction, 391 14.2 Exchange Rates and Stochastic Discount Factors, 392 14.2.1 Stochastic Discount Factors, 392 14.2.2 Real Exchange Rates and Currency Risk Premia, 395 14.3 Empirical Evidence, 398 14.3.1 From UIP Regressions to Currency Portfolios, 398 14.3.2 Annual Currency Excess Returns and Aggregate Risk, 399 14.3.3 Monthly Currency Excess Returns, 403 14.3.4 Implications for Stochastic Discount Factors, 403 14.3.5 Predictability of Currency Excess Returns, 405 14.4 Models, 407 14.4.1 Habits, 407 14.4.2 Long-Run Risk, 411 14.4.3 Disaster Risk, 414 14.5 Conclusion, 417 References, 417 15 Volatility and Correlation Timing in Active Currency Management 421 15.1 Introduction, 421 15.2 Dynamic Models for Volatility and Correlation, 424 15.2.1 The Set of Multivariate Models, 425 15.2.2 The Set of Univariate Models for Volatility Timing, 427 15.2.3 Pairwi...