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Exchange rates: macro and micro fundamentals

Zhang, Guangfeng (2009) Exchange rates: macro and micro fundamentals. PhD thesis, University of Glasgow.

Due to Embargo and/or Third Party Copyright restrictions, this thesis is not available in this service.

Abstract

This thesis aims to examine a number of issues related to exchange rate movements at different time horizons: long-run, in terms of investigating equilibrium real exchange rates; medium-run, in terms of investigating predictability of exchange rates in out-of-sample forecasting contexts; and short-run, in terms of studying high-frequency exchange rate dynamics in the actual foreign exchange trading. Specifically, we reassess four topics concerning exchange rate movements through macroeconomic fundamental analysis and microstructure approaches to exchange rates. With macro approaches, our study demonstrates, in a panel data setting, the link between real exchange rates and net foreign asset could be through the association between real exchange rates and trade balance. The panel study indicates the heterogeneity, in terms of the association between real exchange rates and trade balance, between the OECD economies and less mature economies. Our study on the monetary exchange rate model indicates the monetary model can describe the long-run behaviour of nominal exchange rates. Furthermore, we find the short-term exchange rate deviation adjustments to equilibrium and nonlinearities involved in the association between exchange rates and monetary fundamentals. With micro approaches, our study demonstrates, in short run, order flow has a significant impact on the contemporaneous exchange rate dynamics. However, we observe the prediction of order flow on the future exchange rate is quite weak. Our study also finds the weak interaction between macro news and private information in the exchange rate volatility study.

Item Type: Thesis (PhD)
Qualification Level: Doctoral
Keywords: Exchange Rate, Determination
Subjects: H Social Sciences > HG Finance
H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Q Science > Q Science (General)
Colleges/Schools: College of Social Sciences > Adam Smith Business School > Economics
Supervisor's Name: MacDonald, Prof. Ronald and Talmain, Prof. Gabriel
Date of Award: 2009
Embargo Date: 10 July 2015
Depositing User: Dr G ZHANG
Unique ID: glathesis:2009-933
Copyright: Copyright of this thesis is held by the author.
Date Deposited: 04 Aug 2009
Last Modified: 10 Dec 2012 13:28
URI: http://theses.gla.ac.uk/id/eprint/933

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