Studies in Foreign Exchange Economics

This book collects my scholarly research on the behavior of foreign exchange rates conducted over the past twenty-five years. The collection includes papers that study the behavior of exchange rates from the traditional macroeconomic and newer microstructure perspectives. The former perspective considers the linkages between the macro economy and currency prices in an effort to understand the behavior of exchange rates over quarters, years and decades. By contrast, the microstructure perspective considers how the details of currency trading affect how macroeconomic information becomes embedded in currency prices, a process which drives exchange-rates over intraday horizons. The book also contains papers with a hybrid perspective that consider the details of currency trading and macroeconomic linkages in an effort to understand exchange-rate dynamics across all horizons.

Contents:

• Traditional Models:

  • The Response of Exchange Rates to Permanent and Transitory Shocks under Floating Exchange Rates (Martin D D Evans and James R Lothian)
  • Trends in Excess Returns in Currency and Bond Markets (Martin D D Evans and Karen K Lewis)
  • Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia? (Martin D D Evans and Karen K Lewis)
  • Exchange-Rate Dark Matter (Martin D D Evans)

• Microstructure Models:

  • FX Trading and Exchange Rate Dynamics (Martin D D Evans)
  • Order Flow and Exchange Rate Dynamics (Martin D D Evans and Richard K Lyons)
  • Informational Integration and FX Trading (Martin D D Evans and Richard K Lyons)
  • Time-Varying Liquidity in Foreign Exchange (Martin D D Evans and Richard K Lyons)
  • Inventory Information (H Henry Cao, Martin D D Evans and Richard K Lyons)
  • Are Different-Currency Assets Imperfect Substitutes? (Martin D D Evans and Richard K Lyons)
  • Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting (Martin D D Evans and Richard K Lyons)
  • Do Currency Markets Absorb News Quickly? (Martin D D Evans and Richard K Lyons)
  • Understanding Order Flow (Martin D D Evans and Richard K Lyons)
  • How is Macro News Transmitted to Exchange Rates? (Martin D D Evans and Richard K Lyons)

• Micro Based Models:

  • Order Flows and the Exchange Rate Disconnect Puzzle (Martin D D Evans)
  • Exchange Rate Fundamentals and Order Flow (Martin D D Evans and Richard K Lyons)
  • Order Flow Information and Spot Rate Dynamics (Martin D D Evans and Dagfinn Rime)

Readership: Graduate students and researchers who are interested to understand the behaviour of foreign exchange rates.