Handbook of Exchange Rates

Jessica James 지음

Wiley 2012년 05월 29일 출간

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Praise for Handbook of Exchange Ratesldquo;This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.rdquo;m-Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeleyldquo;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.rdquo;m-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 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:bull; 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.bull; 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 flown-based models.bull; FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products.

Preface xxiiiContributors xxviipart one Overview1 Foreign Exchange Market Structure, Players, and Evolution 31.1 Introduction, 31.2 Geography and Composition of Currency Trading, 41.2.1 Which Currencies are Traded? 61.2.2 What Instruments are Traded? 91.2.3 How is Trading Regulated? 91.3 Players and Information in FX Markets, 111.3.1 Who Needs Liquidity? 121.3.2 Who Provides Liquidity? 151.3.3 Asymmetric Information and Exchange Rate Determination, 191.4 Electronic Trading Revolution in FX Markets, 211.4.1 The Telephone Era, 221.4.2 The Rise of the Computer, 221.4.3 Recent Developments in Electronic Trading, 301.5 Survey of Multibank FX Platforms, 351.6 Summary, 38Glossary, 39Acknowledgments, 41References, 422 Macro Approaches to Foreign Exchange Determination 452.1 Introduction, 452.2 Models of the Nominal Exchange Rate, 462.2.1 The Monetary Model, 462.2.2 Portfolio Balance Models, 492.2.3 Empirical Evidence, 512.3 Real Models of the Real Exchange Rate, 542.3.1 Purchasing Power Parity, 552.3.2 Balassa&n-Samuelson and Productivity-Based Models, 562.3.3 Two-Good Models, 592.4 New Directions in Exchange-Rate Modeling, 602.4.1 Taking Reaction Functions Seriously, 602.4.2 The Impact of Financial Globalization, 632.4.3 The Risk Premium and Order Flow, 642.5 Conclusions, 65Acknowledgments, 65References, 663 Micro Approaches to Foreign Exchange Determination 733.1 Introduction, 733.2 Perspectives on Spot-Rate Dynamics, 743.2.1 Decomposition of Depreciation Rates, 743.2.2 Macro- and Microperspectives, 773.3 Currency Trading Models and their Implications, 803.3.1 The Portfolio Shifts Model, 813.3.2 Empirical Implications, 88

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저자(글) Jessica James

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JESSICA JAMES, PhD, is a Managing Director and Co#45;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.

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