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International Macroeconomics and Finance: Theory and Econometric Methods

توضیحات

This short, concrete, and to-the-point book guides students through this vast field of conflicting opinions. The book starts from the premise that students benefit most from seeing a balanced treatment of all available views. For instance, it provides coverage of both ad hoc and optimizing models and 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.

International Macroeconomics and Finance also excels in its integration of theoretical and empirical issues: the theory is introduced by developing the canonical model in a topic area and then its predictions are evaluated quantitatively. Both the calibration method and standard econometric methods are covered.

To avoid the 'black-box' perception that students sometimes develop, almost all of the results presented here are derived step-by-step from first principles. A conversational, logical presentation also makes this a supreme learning tool.



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.

Preface.

1. Some Institutional Background:.

International Financial Markets.

National Accounting Relations.

The Central Bank's Balance Sheet.

2. Some Useful Time-Series Methods:.

Unrestricted Vector Autoregressions.

The Generalized Method of Moments.

The Simulated Method of Moments.

Unit Roots.

Panel Unit-Root Tests.

Cointegration.

Filtering.

3. The Monetary Model:.

Purchasing-Power Parity.

The Monetary Model of the Balance of Payments.

The Monetary Model under Flexible Exchange Rates.

Fundamentals and Exchange Rate Volatility.

Testing Monetary Model Predictions.

Problems.

4. The Lucas Model:.

The Barter Economy.

The One-Money Monetary Economy.

The Two-Money Monetary Economy.

An Introduction to the Calibration Method.

Calibrating the Lucas Model.

Appendix: Markov Chains.

Problems.

5. International Real Business Cycles:.

Calibrating the One-Sector Growth Model.

Calibrating a Two-Country Model.

6. Foreign Exchange Market Efficiency:.

Deviations from UIP.

Rational Risk Premia.

Testing Euler Equations.

Apparent Violations of Rationality.

The "Peso Problem".

Noise Traders.

Problems.

7. The Real Exchange Rate:.

Some Preliminary Issues.

Deviations from the "Law-of-One-Price".

Long-Run Determinants of the Real Exchange Rate.

Long-Run Analyses of Real Exchange Rates.

Problem.

8. The Mundell-Fleming Model:.

A Static Mundell-Fleming Model.

Dornbusch's Dynamic Mundell-Fleming Model.

A Stochastic Mundell-Fleming Model.

VAR Analysis of Mundell-Fleming.

Appendix: Solving the Dornbusch Model.

Problems.

9. The New International Macroeconomics:.

The Redux Model.

Pricing to market.

Problems.

10. Target-Zone Models:.

Fundamentals of Stochastic Calculus.

The Continuous-Time Monetary Model.

Infinitesimal Marginal Intervention.

Discrete Intervention.

Eventual Collapse.

Imperfect Target-Zone Credibility.

11. Balance-of-Payments Crises:.

A First-Generation Model.

A Second-Generation Model.

Bibliography.

Author Index.

Subject Index.