Acknowledgements ............................................... ix
A preface and introduction by the editors to both volumes
appears in Volume I
PART I. FOREIGN EXCHANGE MARKET EFFICIENCY, INTEREST RATE
PARITIES AND RISK PREMIA
1. Geert Bekaert and Robert J. Hodrick (1992)
Characterizing Predictable Components in Excess Returns
on Equity and Foreign Exchange Markets
Journal of Finance, XLVII (2), June, 467-509 ................ 3
2. Graham Elliott and Takatoshi Ito (1999)
Heterogeneous Expectations and Tests of Efficiency in
the Yen/Dollar Forward Exchange Rate Market
Journal of Monetary Economics, 43, 435-56 .................. 46
3. Weike Hai, Nelson C. Mark and Yangru Wu (1997)
Understanding Spot and Forward Exchange Rate Regressions
Journal of Applied Econometrics, 12 (6), November-
December, 715-34 ........................................... 68
4. Nelson C. Mark and Yangru Wu (1998)
Rethinking Deviations from Uncovered Interest Parity: The
Role of Co variance Risk and Noise
Economic Journal, 108 (451), November, 1686-706 ............ 88
PART II. EXCHANGE RATE PREDICTABILITY
5. Francis X. Diebold and James M. Nason (1990)
Nonparametric Exchange Rate Prediction?
Journal of International Economics, 28,315-32 ............. 111
6. Richard M. Levich and Lee R. Thomas III (1993)
The Significance of Technical Trading-Rule Profits in
the Foreign Exchange Market: A Bootstrap Approach
Journal of International Money and Finance, 12 (5),
October, 451-74 ........................................... 129
7. Nelson С. Mark (1995)
Exchange Rates and Fundamentals: Evidence on Long-
Horizon Predictability
American Economic Review, 85(1), March, 201-18 ............ 153
8. Richard H. Clarida and Mark P. Taylor (1997)
The Term Structure of Forward Exchange Premiums and
the Forecastability of Spot Exchange Rates: Correcting
the Errors
Review of Economics and Statistics, LXXIX (3), August,
353-61 .................................................... 171
9. Nelson С Mark and Doo-Yull Choi (1997)
Real Exchange-Rate Prediction over Long Horizons
Journal of International Economics, 43,29-60 .............. 180
III. PURCHASING POWER PARITY AND REAL EXCHANGE
RATE BEHAVIOUR
10. Kenneth Rogoff (1996)
The Purchasing Power Parity Puzzle
Journal of Economic Literature, XXXIV (2), June,
647-68 .................................................... 215
11. Francis X. Diebold, Steven Husted and Mark Rush (1991)
Real Exchange Rates under the Gold Standard', Journal of
Political Economy, 99 (6), December, 1252-71 .............. 237
12. Charles Engel and John H. Rogers (1996)
How Wide is the Border?
American Economic Review, 86 (5), December, 1112-25 ....... 257
13. James R. Lothian and Mark P. Taylor (1996)
Real Exchange Rate Behavior: The Recent Float from
the Perspective of the Past Two Centuries
Journal of Political Economy, 104 (3), June, 488-509 ...... 271
14. Mark P. Taylor and Lucio Sarno (1998)
The Behavior of Real Exchange Rates during the Post-
Bretton Woods Period
Journal of International Economics, 46, 281-312 ........... 293
15. Matthew B. Canzoneri, Robert E. Cumby and Behzad
Diba (1999)
Relative Labor Productivity and the Real Exchange Rate
in the Long Run: Evidence for a Panel of OECD Countries
Journal of International Economics, 47, 245-66 ............ 325
16. Charles Engel (1999)
Accounting for U.S. Real Exchange Rate Changes
Journal of Political Economy, 107 (3), June, 507-38 ....... 347
17. Yin-Wong Cheung and Kon S. Lai (2000)
On Cross-Country Differences in the Persistence of
Real Exchange Rates
Journal of International Economics, 50 (2). April,
375-97 .................................................... 379
PART IV. THE MICROSTRUCTURE OF THE FOREIGN EXCHANGE MARKET
18. Jeffrey A. Frankel and Kenneth A. Froot (1990)
Chartists, Fundamentalists, and Trading in the
Foreign Exchange Market
American Economic Review, 80 (2), May, 181-5 .............. 405
19. Robert F. Engle, Takatoshi Ito and Wen-Ling
Lin (1990)
Meteor Showers or Heat Waves? Heteroskedastic Intra-
Daily Volatility in the Foreign Exchange Market
Econometrica, 58 (3), May, 525-42 ......................... 410
20. Menzie Chinn and Jeffrey Frankel (1994)
Patterns in Exchange Rate Forecasts for Twenty-Five
Currencies
Journal of Money, Credit, and Banking, 26 (4), November,
759-70 .................................................... 428
21. Hendrik Bessembinder (1994)
Bid-Ask Spreads in the Interbank Foreign Exchange
Markets
Journal of Financial Economics, 35, 317-48 ................ 440
22. Philippe Jorion (1995)
Predicting Volatility in the Foreign Exchange Market
Journal of Finance, L (2), June, 507-28 ................... 472
23. Richard K. Lyons (1995)
Tests of Microstructural Hypotheses in the Foreign
Exchange Market
Journal of Financial Economics, 39, 321-51 ................ 494
24. Richard K. Lyons (1997)
A Simultaneous Trade Model of the Foreign Exchange
Hot Potato
Journal of International Economics, 42,275-98 ............. 525
25. Takatoshi Ito, Richard K. Lyons and Michael T.
Melvin (1998)
Is There Private Information in the FX Market? The
Tokyo Experiment
Journal of Finance, LIH (3), June, 111 1-30 ............... 549
Name Index .................................................... 569
|
