Praise for Handbook of Exchange Rates“This book is remarkable. I expectit to become the anchor reference for people working in the foreign exchange field.”—Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley“It is quite easily themost wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.”—Jim O’Neill, Chairman, Goldman Sachs Asset ManagementHow should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook ofExchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate.Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections:• Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approachesto FX determination.• Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models.• FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequencyand algorithmic trading in FX; and FX strategy-based products.• FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises.Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts.Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels. INDICE: Part I. Overview1. Foreign Exchange Market Structure, Players and Evolution 12. Macro Approaches to Foreign Exchange Determination 493. Micro Approaches to Foreign Exchange Determination 794. The Exchange Rate in a Behavioural Finance Framework 1195. The Evolution of Exchange Rate Regimes and Some Future Perspective 145Part II. Exchange Rate Models and Methods6. Purchasing Power Parity in Economic History 1757. Purchasing Power Parity in Tradable Goods2038. Statistical and Economic Methods for Evaluating Exchange Rate Predictability 2399. When Are Pooled Panel-Data Regression Forecasts of Exchange Rates More Accurate than the Time-Series Regression Forecasts? 28310. Carry Trades and Risk 30111. Currency Fair Value Models 33512. Technical Analysis in the Foreign Exchange Market 36913. Modeling Exchange Rates with Incomplete Information 40314. Exchange Rates in a Stochastic Discount Factor Framework 42115. Volatility and Correlation Timing in Active Currency Management 453Part III. FX Markets and Products16. Is There a Premium for Currency Investing (Beta) 48517. Is There Skill or Alpha in Currency Investing? 50918. Currency Hedging for International Bond and Equity Investors 53919. FX Reserve Management 57720. High frequency finance: Using scaling laws to build trading models 59721. Algorithmic Execution in Foreign Exchange 62122. Foreign Exchange Strategy Based Products 63523. Foreign exchange futures, forwards and swaps 66124. Options and Volatility Derivatives 687Part IV. FX Markets and Policy25. A Common Framework for Thinking about Currency Crises 74126. Official Intervention in the Foreign Exchange Market 76327. Exchange Rate Misalignment - The Case of the Chinese Renminbi 797
- ISBN: 978-0-470-76883-9
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 840
- Fecha Publicación: 22/06/2012
- Nº Volúmenes: 1
- Idioma: Inglés