Studies In Foreign Exchange Economics

by Martin D D Evans

Overview

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.

Product Details

ISBN-13:	9789813147560
Publisher:	World Scientific Publishing Company, Incorporated
Publication date:	08/08/2017
Pages:	792
Product dimensions:	6.00(w) x 9.00(h) x 1.63(d)

Table of Contents

Preface ix

About the Author xiii

Part I Traditional Models 1

Chapter 1 The Response of Exchange Rates to Permanent and Transitory Shocks under Floating Exchange Rates Martin D. D. Evans James R. Lothian 3

Chapter 2 Trends in Excess Returns in Currency and Bond Markets Martin D. D. Evans Karen K. Lewis 39

Chapter 3 Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia? Martin D. D. Evans Karen K. Lewis 59

Chapter 4 Exchange-Rate Dark Matter Martin D. D. Evans 101

Part II Microstructure Models 187

Chapter 1 FX Trading and Exchange Rate Dynamics Martin D. D. Evans 189

Chapter 2 Order Flow and Exchange Rate Dynamics Martin D. D. Evans Richard K. Lyons 247

Chapter 3 Informational Integration and FX Trading Martin D. D. Evans Richard K. Lyons 291

Chapter 4 Time-Varying Liquidity in Foreign Exchange Martin D. D. Evans Richard K. Lyons 325

Chapter 5 Inventory Information H. Henry Gao Martin D. D. Evans Richard K. Lyons 363

Chapter 6 Are Different-Currency Assets Imperfect Substitutes? Martin D. D. Evans Richard K. Lyons 415

Chapter 7 Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting Martin D. D. Evans Richard K. Lyons 457

Chapter 8 Do Currency Markets Absorb News Quickly? Martin D. D. Evans Richard K. Lyons 477

Chapter 9 Understanding Order Flow Martin D. D. Evans Richard K. Lyons 507

Chapter 10 How is Macro News Transmitted to Exchange Rates? Martin D. D. Evans Richard K. Lyons 547

Part III Micro Based Models 597

Chapter 1 Order Flows and the Exchange Rate Disconnect Puzzle Martin D. D. Evans 599

Chapter 2 Exchange Rate Fundamentals and Order Flow Martin D. D. Evans Richard K. Lyons 645

Chapter 3 Order Flow Information and Spot Rate Dynamics Martin D. D. Evans Dagfinn Rime 725