国际经济和金融：理论和实证方法

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国际经济和金融：理论和实证方法，International Macroeconomics and Finance: Theory and Empirical Methods，英文，Nelson C. Mark，December 12, 2000，376页

Contents
1 Some Institutional Background 1
1.1 International Financial Markets . . . . . . . . . . . . . . 2
1.2 National Accounting Relations . . . . . . . . . . . . . . . 15
1.3 The Central Bank’s Balance Sheet . . . . . . . . . . . . . 20
2 Some Useful Time-Series Methods 23
2.1 Unrestricted Vector Autoregressions . . . . . . . . . . . . 24
2.2 Generalized Method of Moments . . . . . . . . . . . . . . 35
2.3 Simulated Method of Moments . . . . . . . . . . . . . . 38
2.4 Unit Roots . . . . . . . . . . . . . . . . . . . . . . . . . . 40
2.5 Panel Unit-Root Tests . . . . . . . . . . . . . . . . . . . 50
2.6 Cointegration . . . . . . . . . . . . . . . . . . . . . . . . 63
2.7 Filtering . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
3 The Monetary Model 79
3.1 Purchasing-Power Parity . . . . . . . . . . . . . . . . . . 80
3.2 The Monetary Model of the Balance of Payments . . . . 83
3.3 The Monetary Model under Flexible Exchange Rates . . 84
3.4 Fundamentals and Exchange Rate Volatility . . . . . . . 88
3.5 Testing Monetary Model Predictions . . . . . . . . . . . 91
4 The Lucas Model 105
4.1 The Barter Economy . . . . . . . . . . . . . . . . . . . . 106
4.2 The One-Money Monetary Economy . . . . . . . . . . . 113
4.3 The Two-Money Monetary Economy . . . . . . . . . . . 118
4.4 Introduction to the Calibration Method . . . . . . . . . . 125
4.5 Calibrating the Lucas Model . . . . . . . . . . . . . . . . 126
v
vi CONTENTS
5 International Real Business Cycles 137
5.1 Calibrating the One-Sector Growth Model . . . . . . . . 138
5.2 Calibrating a Two-Country Model . . . . . . . . . . . . . 149
6 Foreign Exchange Market Efficiency 161
6.1 Deviations From UIP . . . . . . . . . . . . . . . . . . . . 162
6.2 Rational Risk Premia . . . . . . . . . . . . . . . . . . . . 172
6.3 Testing Euler Equations . . . . . . . . . . . . . . . . . . 177
6.4 Apparent Violations of Rationality . . . . . . . . . . . . 183
6.5 The ‘Peso Problem’ . . . . . . . . . . . . . . . . . . . . . 186
6.6 Noise-Traders . . . . . . . . . . . . . . . . . . . . . . . . 193
7 The Real Exchange Rate 207
7.1 Some Preliminary Issues . . . . . . . . . . . . . . . . . . 208
7.2 Deviations from the Law-Of-One Price . . . . . . . . . . 209
7.3 Long-Run Determinants of the Real Exchange Rate . . . 213
7.4 Long-Run Analyses of Real Exchange Rates . . . . . . . 217
8 The Mundell-Fleming Model 229
8.1 A Static Mundell-Fleming Model . . . . . . . . . . . . . 229
8.2 Dornbusch’s Dynamic Mundell—Fleming Model . . . . . . 237
8.3 A Stochastic Mundell—Fleming Model . . . . . . . . . . . 241
8.4 VAR analysis of Mundell—Fleming . . . . . . . . . . . . . 249
9 The New International Macroeconomics 263
9.1 The Redux Model . . . . . . . . . . . . . . . . . . . . . . 264
9.2 Pricing to Market . . . . . . . . . . . . . . . . . . . . . . 286
10 Target-Zone Models 307
10.1 Fundamentals of Stochastic Calculus . . . . . . . . . . . 308
10.2 The Continuous—Time Monetary Model . . . . . . . . . . 310
10.3 InÞnitesimal Marginal Intervention . . . . . . . . . . . . 313
10.4 Discrete Intervention . . . . . . . . . . . . . . . . . . . . 319
10.5 Eventual Collapse . . . . . . . . . . . . . . . . . . . . . . 320
10.6 Imperfect Target-Zone Credibility . . . . . . . . . . . . . 322
CONTENTS vii
11 Balance of Payments Crises 327
11.1 A First-Generation Model . . . . . . . . . . . . . . . . . 328
11.2 A Second Generation Model . . . . . . . . . . . . . . . . 335

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关键词：国际经济 intervention Fundamentals Determinants unrestricted Finance Methods Theory Empirical

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