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- catalog abstract ""Exchange Rate Theory presents a novel and elegant theory to explain the excessive variability of foreign exchange rate returns. The theory is novel in the sense that it focuses on interaction between market agents as the primary source of the variability in those speculative prices. It is shown that simple interactions between market participants using different information is sufficient to generate deterministic chaos." "In the first part of this book the authors survey existing exchange rate theories and ask whether these theories are useful in explaining actual exchange rate movements. They demonstrate that the 1970s were characterized by the belief that exchange rates could be understood by an analysis of the fundamentals (inflation rates, interest rates and monetary policy). Subsequently, this belief has all but disappeared but researchers have been content to analyze the statistical properties of exchange rates, abandoning the theory and the models." "The second part of the book uses chaos theory to construct an innovative framework for the understanding of exchange markets. These models, which integrate fundamentalism and chartism, create complex exchange rate movements which appear to be random. These models are used to explain several of the anomalies observed in exchange rate markets and to evaluate the possibility of exchange rate prediction."--BOOK JACKET.".
- catalog contributor b4021329.
- catalog contributor b4021330.
- catalog contributor b4021331.
- catalog created "1993.".
- catalog date "1993".
- catalog date "1993.".
- catalog dateCopyrighted "1993.".
- catalog description ""Exchange Rate Theory presents a novel and elegant theory to explain the excessive variability of foreign exchange rate returns. The theory is novel in the sense that it focuses on interaction between market agents as the primary source of the variability in those speculative prices. It is shown that simple interactions between market participants using different information is sufficient to generate deterministic chaos." "In the first part of this book the authors survey existing exchange rate theories and ask whether these theories are useful in explaining actual exchange rate movements. They demonstrate that the 1970s were characterized by the belief that exchange rates could be understood by an analysis of the fundamentals (inflation rates, interest rates and monetary policy). Subsequently, this belief has all but disappeared but researchers have been content to analyze the statistical properties of exchange rates, abandoning the theory and the models." "The second part of the book uses chaos theory to construct an innovative framework for the understanding of exchange markets. These models, which integrate fundamentalism and chartism, create complex exchange rate movements which appear to be random. These models are used to explain several of the anomalies observed in exchange rate markets and to evaluate the possibility of exchange rate prediction."--BOOK JACKET.".
- catalog description "Includes bibliographical references (p. [258]-265) and index.".
- catalog extent "xvii, 273 p. :".
- catalog identifier "0631180168 (acid-free paper)".
- catalog issued "1993".
- catalog issued "1993.".
- catalog language "eng".
- catalog publisher "Oxford, UK ; Cambridge, Mass., USA : Blackwell,".
- catalog subject "332.4/56 20".
- catalog subject "Foreign exchange rates Econometric models.".
- catalog subject "HG3823 .G735 1993".
- catalog title "Exchange rate theory : chaotic models of foreign exchange markets / Paul De Grauwe, Hans Dewachter, and Mark Embrechts.".
- catalog type "text".