Buch, Englisch, 856 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 1431 g
Reihe: Wiley Handbooks in Financial Engineering and Econometrics
Buch, Englisch, 856 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 1431 g
Reihe: Wiley Handbooks in Financial Engineering and Econometrics
ISBN: 978-0-470-76883-9
Verlag: Wiley
"This book is remarkable. I expect it 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 the most 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 Management
How 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 of Exchange 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 approaches to 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 frequency and 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.
Autoren/Hrsg.
Fachgebiete
- Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Geldwirtschaft, Währungspolitik
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte
- Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationale Finanzmärkte
- Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
- Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
Weitere Infos & Material
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
1.3 Players and Information in FX Markets, 11
1.4 Electronic Trading Revolution in FX Markets, 21
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
2.3 Real Models of the Real Exchange Rate, 54
2.4 New Directions in Exchange-Rate Modeling, 60
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
3.3 Currency Trading Models and their Implications, 80
3.4 Exchange Rates, Order Flows, and the Macro Economy, 95
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
4.2 Exchange Rate Puzzles, 114
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
5.4 Trends in Currency Use, 141
5.5 Prospects for the Future, 144
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
6.4 Techniques of Testing PPP Theory in Economic-History Literature, 165
6.5 Price Variable in PPP Computations, 168
6.6 Modern Period: Testing of PPP, 169
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
6.9 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
7.4 Purchasing Power Parity, 200
7.5 Aggregating from the LOP to PPP: What Can We Infer? 205
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
8.3 Statistical Evaluation of Exchange Rate Predictability, 228
8.4 Economic Evaluation of Exchange Rate Predictability, 231
8.5 Combined Forecasts, 235
8.6 Empirical Results, 237
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
9.4 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
10.3 Pricing the Returns to the Carry Trade, 290
10.4 Empirical Findings, 293
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
11.3 Implementation Choices and Model Characteristics, 328
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
12.3 Studies of Technical Analysis in the Foreign Exchange Market, 350
12.4 Explaining The Success of Technical Analysis, 355
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
14.3 Empirical Evidence, 398
14.4 Models, 407
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
15.3 The Economic Value of Volatility and Correlation Timing, 428
15.4 Parameter Uncertainty in Bayesian Asset Allocation, 430
15.5 Model Uncertainty, 431
15.6 Empirical Results, 432
15.7 Conclusion, 440
Appendix A: Univariate Models for Volatility Timing, 442
Appendix B: Parameter Uncertainty and the Predictive Density, 443
Acknowledgments, 444
References, 444
part three FX Markets and Products
16 Active Currency Management Part I: Is There a Premium for Currency Investing (Beta) 453
16.1 Introduction, 453
16.2 Beta in the Foreign Exchange Markets, 455
16.3 Multiple Forms of FX Beta, 465
16.4 Carry FX Indices from Banks, 465
16.5 Trend-Following FX Indices from Banks, 467
16.6 Conclusion, 468
References, 469
17 Active Currency Management Part II: Is There Skill or Alpha in Currency Investing? 471
17.1 Introduction, 471
17.2 Alternative Currency Management Mandates, 473
17.3 Benchmarks for Currency Fund Management, 477
17.4 Empirical Evidence with the Barclay Currency Traders Index and Individual Fund Managers, 481
17.5 Empirical Evidence: Fund Managers on the DB FX Select Platform, 496
17.6 Conclusions and Investment Implications, 498
References, 499
18 Currency Hedging for International Bond and Equity Investors 503
18.1 Introduction, 503
18.2 Overview of Empirical Hedging Studies, 504
18.3 Return and Volatility Impact of Currency Hedging, 506
18.4 Hedge Instruments--Currency Forwards versus Options, 526
18.5 Managing Tracking Error in Forward Hedges, 533
18.6 Conclusions, 541
References, 543
19 FX Reserve Management 545
19.1 FX Reserve Management, 545
19.2 FX Reserve Uses, 545
19.3 FX Reserve Sources, 546
19.4 Objectives of Reserves Management, 547
19.5 Techniques of Reserve Management, 547
19.6 Historical Perspective, 548
19.7 What Assets Do Central Banks Hold? 549
19.8 Constraints, 550
19.9 External Managers, 551
19.10 Costs of Accumulation and Holding of Reserves, 551
19.11 Diversification, 552
19.12 Challenges to Diversification and Size of Reserves, 552
19.13 Changing Role of the Dollar as the International Reserve Currency, 554
19.14 Reserve Management if the Dollar is Replaced as the Reserve Currency, 557
19.15 Conclusion, 559
Acknowledgments, 559
References, 559
20 High Frequency Finance: Using Scaling Laws to Build Trading Models 563
20.1 Introduction, 563
20.2 The Intrinsic Time Framework, 565
20.3 Scaling Laws, 567
20.4 The Scale of Market Quakes, 574
20.5 Trading Models, 577
20.6 Conclusion, 582
Acknowledgments, 582
References, 582
21 Algorithmic Execution in Foreign Exchange 585
21.1 Introduction, 585
21.2 Key Components of an Algorithmic Execution Framework, 589
21.3 Types of Algorithms, 592
21.4 What Execution Strategies are Most Effective? 595
21.5 Looking Forward, 596
Appendix A, 596
References, 597
22 Foreign Exchange Strategy Based Products 599
22.1 Introduction, 599
22.2 Evolution of the Foreign Exchange Market, 600
22.3 Foreign Exchange Investable Indices and Strategy-Based Products, 606
22.4 Conclusion, 620
References, 620
23 Foreign Exchange Futures, Forwards, and Swaps 623
23.1 Introduction, 623
23.2 Market Basics and Size, 625
23.3 Dislocations of the FX and Cross-Currency Swap Markets under Financial Crises, 637
23.4 Conclusion, 643
Acknowledgments, 643
References, 643
24 FX Options and Volatility Derivatives: An Overview from the Buy-Side
Perspective 647
24.1 Introduction, 647
24.2 Why Would One Bother with an Option? 648
24.3 Market for FX Options, 655
24.4 Volatility, 660
24.5 FX Options from the Buy-Side Perspective, 683
Acknowledgment, 695
References, 695
part four FX Markets and Policy
25 A Common Framework for Thinking about Currency Crises 699
25.1 Introduction, 699
25.2 The KFG Model, 701
25.3 Extensions, 706
25.4 Empirical Work, 713
25.5 Conclusion, 714
References, 715
26 Official Intervention in the Foreign Exchange Market 717
26.1 Introduction, 717
26.2 Official FX Interventions and Reserve Accumulation: Stylized Facts, Motives, and Effects, 721
26.3 Empirical Evidence on the Effectiveness of Official FX Interventions, 725
26.4 Conclusions, 746
26.5 Acknowledgements, 746
References, 747
27 Exchange Rate Misalignment--The Case of the Chinese Renminbi 751
27.1 Introduction, 751
27.2 Background, 752
27.3 Undervalued or Overvalued, 754
27.4 Concluding Remarks, 762
Acknowledgments, 763
References, 763
28 Choosing an Exchange Rate Regime 767
28.1 Five Advantages of Fixed Exchange Rates, 768
28.2 Econometric Evidence on the Bilateral Trade Effects of Currency Regimes, 770
28.3 Five Advantages of Floating Exchange Rates, 775
28.4 How to Weigh Up the Advantages of Fixing Versus Floating, 777
28.5 Country Characteristics That Should Help Determine the Choice of Regime, 778
28.6 Alternative Nominal Anchors, 780
References, 781
Index 785
