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International Macroeconomics » (1st Edition)
Authors: Mark
ISBN-13: 9780631222880, ISBN-10: 063122288X
Format: Paperback
Publisher: Wiley, John & Sons, Incorporated
Date Published: August 2001
Edition: 1st Edition
Author Biography: Mark
Nelson C. Mark is Professor of Economics at Ohio State University. He has been widely published in journals such as the Economic Journal, Journal of Applied Econometrics, Journal of International Economics, American Economic Review, Journal of Finance, International Economic Review, Journal of Financial Economics, and Journal of Monetary Economics. He is presently editor of Journal of Money, Credit and Banking.
Book Synopsis
This short, concrete, and to-the-point book guides students through this vast field of conflicting opinions. The book begins from the premise that students benefit most from seeing a balanced treatment of all available views. For instance, this book provides coverage of both ad hoc and optimizing models. It also explores divisions such as flexible price versus sticky price models, rationality versus irrationality, and calibration versus statistical inference. By giving consideration to each of these 'mini debates;, this book shows how each approach has its good and bad points.
Table of Contents
| Preface | ||
| 1 | Some institutional background | 1 |
| 1.1 | International financial markets | 1 |
| 1.2 | National accounting relations | 11 |
| 1.3 | The central bank's balance sheet | 15 |
| 2 | Some useful time-series methods | 17 |
| 2.1 | Unrestricted vector autoregressions | 18 |
| 2.2 | The generalized method of moments | 26 |
| 2.3 | The simulated method of moments | 29 |
| 2.4 | Unit roots | 31 |
| 2.5 | Panel unit-root tests | 39 |
| 2.6 | Cointegration | 49 |
| 2.7 | Filtering | 52 |
| 3 | The monetary model | 62 |
| 3.1 | Purchasing-power parity | 62 |
| 3.2 | The monetary model of the balance of payments | 65 |
| 3.3 | The monetary model under flexible exchange rates | 67 |
| 3.4 | Fundamentals and exchange rate volatility | 70 |
| 3.5 | Testing monetary model predictions | 73 |
| Problems | 80 | |
| 4 | The Lucas model | 82 |
| 4.1 | The barter economy | 83 |
| 4.2 | The one-money monetary economy | 88 |
| 4.3 | The two-money monetary economy | 92 |
| 4.4 | An introduction to the calibration method | 96 |
| 4.5 | Calibrating the Lucas model | 98 |
| Appendix | Markov chains | 104 |
| Problems | 106 | |
| 5 | International real business cycles | 107 |
| 5.1 | Calibrating the one-sector growth model | 107 |
| 5.2 | Calibrating a two-country model | 118 |
| 6 | Foreign exchange market efficiency | 127 |
| 6.1 | Deviations from UIP | 128 |
| 6.2 | Rational risk premia | 136 |
| 6.3 | Testing Euler equations | 139 |
| 6.4 | Apparent violations of rationality | 143 |
| 6.5 | The "peso problem" | 146 |
| 6.6 | Noise traders | 152 |
| Problems | 159 | |
| 7 | The real exchange rate | 163 |
| 7.1 | Some preliminary issues | 164 |
| 7.2 | Deviations from the "law of one price" | 164 |
| 7.3 | Long-run determinants of the real exchange rate | 167 |
| 7.4 | Long-run analysis of real exchange rates | 170 |
| Problem | 178 | |
| 8 | The Mundell-Fleming model | 179 |
| 8.1 | A static Mundell-Fleming model | 179 |
| 8.2 | Dornbusch's dynamic Mundell-Fleming model | 185 |
| 8.3 | A stochastic Mundell-Fleming model | 189 |
| 8.4 | VAR analysis of Mundell-Fleming | 194 |
| Appendix | Solving the Dornbusch model | 200 |
| Problems | 203 | |
| 9 | The new international macroeconomics | 205 |
| 9.1 | The Redux model | 206 |
| 9.2 | Pricing-to-market | 224 |
| Problems | 238 | |
| 10 | Target-zone models | 240 |
| 10.1 | Fundamentals of stochastic calculus | 240 |
| 10.2 | The continuous-time monetary model | 243 |
| 10.3 | Infinitesimal marginal intervention | 245 |
| 10.4 | Discrete intervention | 250 |
| 10.5 | Eventual collapse | 252 |
| 10.6 | Imperfect target-zone credibility | 253 |
| 11 | Balance-of-payments crises | 256 |
| 11.1 | A first-generation model | 257 |
| 11.2 | A second-generation model | 262 |
| Bibliography | 270 | |
| Author Index | 277 | |
| Subject index | 279 |
Subjects
Business Books
Economics Economics - Mathematical & Quanitative Methods
Business Books Economics Macroeconomics
Business Books Professional Finance & Investing Finance - International
Economics Economics - Mathematical & Quanitative MethodsBusiness Books
Economics MacroeconomicsBusiness Books
Professional Finance & Investing Finance - International
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