The Exchange Rate in a Behavioral Finance Framework

Paul De Grauwe, Marianna Grimaldi

216 pages, parution le 15/05/2006

Ajouter à une liste

Indisponible

Résumé

This book provides an alternative view of the workings of foreign exchange markets. The authors' modeling approach is based on the idea that agents use simple forecasting rules and switch to those rules that have been shown to be the most profitable in the past. This selection mechanism is based on trial and error and is probably the best possible strategy in an uncertain world, the authors contend. It creates a rich dynamic in the foreign exchange markets and can generate bubbles and crashes.

Sensitivity to initial conditions is a pervasive force in De Grauwe and Grimaldi's model. It explains why large exchange-rate changes and volatility clustering occur. It also has important implications for understanding how the news affects the exchange rate. De Grauwe and Grimaldi conclude that news in fundamentals has an unpredictable effect on the exchange rate. Sometimes, they maintain, it alters the exchange rate considerably; at other times it has no effectwhatsoever.

The authors also use their model to analyze the effects of official interventions in the foreign exchange market. They show that simple intervention rules of the "leaning-against-the-wind" variety can be effective in eliminating bubbles and crashes in the exchange rate. They further demonstrate how, quite paradoxically, by intervening in the foreign exchange market the central bank makes the market look more efficient.

Clear and comprehensive, The Exchange Rate in a Behavioral Finance Framework is a must-have for analysts in foreign exchange markets as well as students of international finance and economics.

L'auteur - Paul De Grauwe

Paul De Grauwe is Professor of International Economics at the University of Leuven, Belgium. His books include The Economics of Monetary Union and Exchange Rate Theories: Chaotic Models of the Foreign Exchange Markets.

Autres livres de Paul De Grauwe

Les limites du marché

Découvrir tous les livres de Paul De Grauwe

L'auteur - Marianna Grimaldi

Marianna Grimaldi is an economist in the research department of the Sveriges Riksbank, Stockholm. Her research interests are international monetary relations and exchange rate economics.

Sommaire

The Need for a New Paradigm
A Simple Behavioral Finance Model of the Exchange Rate
A Slightly More Complex Behavioral Finance Model
Limits to Arbitrage
Changes in the Perception of Risk
Modeling the Supply of Foreign Assets and the Current Account
Risk Appetite in an Evolutionary Perspective
The Empirical Evidence
Official Interventions in the Foreign Exchange Markets
Chaos in the Foreign Exchange Markets
Conclusion

Voir tout

Replier

Caractéristiques techniques

	PAPIER
Éditeur(s)	Princeton University Press
Auteur(s)	Paul De Grauwe, Marianna Grimaldi
Parution	15/05/2006
Nb. de pages	216
Format	16 x 24
Couverture	Relié
Poids	450g
Intérieur	Noir et Blanc
EAN13	9780691121635
ISBN13	978-0-691-12163-5