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雷达卡
by Peijie Wang (Author)
About the Author
Peijie Wang is Professor of Finance at Plymouth Business School, University of Plymouth, and an affiliate professor at IéSEG School of Management, the Catholic University of Lille and the Institute of World Economy, Fudan University. He has held faculty and visiting appointments at UMIST, Manchester Business School, the University of Manchester, IéSEG, the Catholic University of Lille, Cass Business School, City University, the University of Hull, Harbin Institute of Technology and the University of Reading. Prof. Wang is the author of several books and a regular contributor to journals in the areas of international finance, real estate, finance and economics.
About this Book
This textbook presents all major topics in international monetary theory, foreign exchange markets, international financial management and investment analysis. It focuses on real-world problems in the sense that it provides guidance on how to solve policy issues as well as how to complete financial assignments across the globe. This in turn helps readers gain an understanding of the theory and refine the framework.
This third edition of the book incorporates three new chapters, and most of the chapters from the second edition have been updated to integrate new material, data, and/or the recent developments in the areas. The book can be used in graduate and advanced undergraduate programs in international or global finance, international monetary economics, and international financial management. It is also a valuable reference book for researchers in these areas.
Brief Contents
1 Foreign Exchange Markets and Foreign Exchange Rates 1
1.1 Foreign Exchange Rate Quotations and Arbitrage 3
1.1.1 Foreign Exchange Quotations 3
1.1.2 Cross Rates and Arbitrage 4
1.2 Foreign Exchange Transactions 5
1.2.1 The Bid-Ask Spread 6
1.2.2 Transaction Costs and Arbitrage Opportunities 8
1.3 Spot and Forward Exchange Rates 11
1.4 Effective Exchange Rates 12
1.5 Other Currency Markets 17
Reference 17
2 Exchange Rate Arrangements and International Monetary Systems 19
2.1 Exchange Rate Arrangements 19
2.2 A Brief History of International Monetary Systems 25
2.3 The European Single Currency 30
References 34
3 International Parity Conditions 35
3.1 Purchasing Power Parity 36
3.1.1 Absolute Purchasing Power Parity 36
3.1.2 Real Exchange Rates 39
3.1.3 Relative Purchasing Power Parity 40
3.1.4 Factors Contributing to the Departure from PPP 43
3.1.5 Empirical Tests and Evidence on PPP 45
3.2 Covered Interest Rate Parity 53
3.2.1 Rationale of CIRP 53
3.2.2 CIRP and Arbitrage in the Presence of Transaction Costs 58
3.3 Uncovered Interest Rate Parity and International Fisher Effect 60
3.3.1 Uncovered Interest Rate Parity 60
3.3.2 International Fisher Effect 62
3.4 Links Between the Parities: A Summary 64
References 65
4 Balance of Payments and International Investment Positions 71
4.1 Balance of Payments 72
4.1.1 Balance of Payments Accounts and Classification 74
4.1.2 Balance of Payments Entries and Recording 80
4.1.3 The Balance of Payment Identity 94
4.2 International Investment Position Statements and Analysis 95
References 104
5 Open Economy Macroeconomics 105
5.1 The Balance of Payments, National Accounts and International Economic Linkages 106
5.1.1 National Accounts with an External Sector 106
5.1.2 International Economic Linkages 107
5.2 IS–LM in Open Economy Macroeconomics 109
5.2.1 IS–LM Analysis 109
5.2.2 IS–LM–BP Analysis 114
5.3 Aggregate Supply and Assumptions on Price Attributes 117
Reference 120
6 Balance of Payments Issues and Exchange Rate Movements 121
6.1 The Elasticity Approach 122
6.2 The Absorption Approach 130
6.3 The Monetary Approach 132
6.4 DIPI Analysis and DIDI Analysis 139
References 147
7 The Mundell–Fleming Model 149
7.1 Effects and Effectiveness of Monetary Policy and Fiscal Policy: Perfect Capital Mobility 150
7.1.1 Monetary Expansion: Perfect Capital Mobility, Flexible Exchange Rates 151
7.1.2 Fiscal Expansion: Perfect Capital Mobility, Flexible Exchange Rates 153
7.1.3 Monetary Expansion: Perfect Capital Mobility, Fixed Exchange Rates 155
7.1.4 Fiscal Expansion: Perfect Capital Mobility, Fixed Exchange Rates 157
7.2 Effects and Effectiveness of Monetary Policy and Fiscal Policy: Imperfect Capital Mobility 159
7.2.1 Monetary Expansion: Imperfect Capital Mobility, Flexible Exchange Rates 159
7.2.2 Fiscal Expansion: Imperfect Capital Mobility, Flexible Exchange Rates 163
7.2.3 Monetary Expansion: Imperfect Capital Mobility, Fixed Exchange Rates 165
7.2.4 Fiscal Expansion: Imperfect Capital Mobility, Fixed Exchange Rates 167
7.3 Monetary Policy Versus Fiscal Policy 170
7.3.1 Effect on Income 170
7.3.2 Effects on the Exchange Rate and Official Reserves 171
7.3.3 Effect on the Balance of Payments Current Account 171
References 172
8 The Monetary Models 173
8.1 Demand for Money in Two Countries and Foreign Exchange Rate Determination 175
8.2 Expectations, Fundamentals, and the Exchange Rate 180
8.3 Rational Bubbles and Tests for the Forward-Looking Monetary Model 183
8.4 The Dornbusch Model 187
8.4.1 The Building Blocks of the Model and the Evolution Paths of the Exchange Rate and the Price 187
8.4.2 Adjustments of the Exchange Rate and the Price and Overshooting of the Exchange Rate 191
8.5 A Tale of Reverse Shooting and the Sensitivity of Exchange Rate Behavior 200
8.6 The Real Interest Rate Differential Model 204
8.7 Empirical Evidence on the Validity of the Monetary Models and Some Related Developments 206
References 214
9 The Portfolio Balance Approach to Exchange Rate Determination 217
9.1 Three Assets and Market Equilibria 218
9.2 Effects of Monetary Policy Under the Portfolio Balance Approach 221
9.3 Effects of Changing Economic Environments and Risk Perceptions 230
9.4 Theoretical and Empirical Research and Developments in the Portfolio Balance Framework 235
References 239
10 The Dynamic IS-LM-X Model of Exchange Rate Movements 241
10.1 The Construct, Paradigm, Setting and Dynamics 241
10.2 The Solution and Features of the Model 245
10.3 An Illustrating Case 255
References 257
11 Driver Currencies and Triangular Cross-Border Effects 259
11.1 The Triangular Analytical Framework 260
11.2 Driver Currencies 261
11.3 Triangular Cross-Border Effects: PPP 268
11.3.1 The Analytical Framework 268
11.3.2 Mechanisms and Channels of Triangular PPP 269
11.3.3 Empirical Tests and Evidence 272
References 281
12 Global Derivatives Markets 283
12.1 Global Use of Derivatives: Current State, Trends and Changing Patterns 284
12.2 Phenomenal Growth in Global Derivatives Markets: A Decade Ago 293
12.3 Organized Derivatives Exchanges, Contract Specifications and Trading 307
12.4 Use of Derivatives, Investor Behavior, Risk Management Concept and Risk Management Methods 318
13 Currency Futures 321
13.1 Futures Contracts and Trading 321
13.2 Futures Quotes 327
13.3 Pricing of Futures Products 330
14 Currency Options 337
14.1 Option Basics 337
14.2 Option Terminology and Quotes 346
14.3 Currency Option Specifics 348
14.4 Option Pricing: The Binomial Tree Approach 351
14.5 Option Pricing: The Black-Scholes Model 364
14.6 Notes 369
References 371
15 Currency Swaps 373
15.1 Basics of Swaps 374
15.2 Currency Swap Specifics 377
15.3 Swapnotes 380
Reference 386
16 Transaction Exposure 387
16.1 Introduction to Transaction Exposure and Its Management 388
16.2 Forward Hedge and Futures Hedge 388
16.3 Money Market Hedge 394
16.4 Option Hedge 398
17 Economic Exposure and Accounting Exposure 401
17.1 Measuring Economic Exposure 402
17.2 Managing Economic Exposure 405
17.3 Measuring Accounting Exposure 407
17.4 Managing Accounting Exposure 412
18 Country Risk and Sovereign Risk Analysis 415
18.1 Factors of Influence on Country Risk 416
18.2 Country Risk Analysis and Ratings 417
18.3 Sovereign Risk Analysis and Ratings 424
References 437
19 Foreign Direct Investment and International Portfolio Investment 439
19.1 Recent Profiles of Foreign Direct Investment 439
19.2 FDI Types and Strategies 443
19.3 International Portfolio Investment 448
References 453
20 Dynamic Global Positioning Strategy 455
20.1 The Pendulum Gravity Model of FDI and Trade 456
20.1.1 The Model with Pendulum Gravity 458
20.1.2 Empirical Studies and Evidence 460
20.2 Development Stages and Trade-FDI Cycles and Phases 467
20.2.1 Relationships Between Trade and FDI: From Static Analysis to Evolutionary Dynamics 468
20.2.2 IDP 471
20.2.3 SCP Conjecture 473
References 476
Name Index 479
Subject Index 483
Pages : 502
ISBN-10 : 366259269X
ISBN-13 : 978-3662592694
Publisher : Springer; 3rd ed. 2020 Edition (August 29, 2020)
Language : English
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