International Macroeconomics and Finance: Theory and Econometric Methods
August 2001, ©2001, Wiley-Blackwell
1. Some Institutional Background:.
International Financial Markets.
National Accounting Relations.
The Central Bank's Balance Sheet.
2. Some Useful Time-Series Methods:.
Unrestricted Vector Autoregressions.
The Generalized Method of Moments.
The Simulated Method of Moments.
Panel Unit-Root Tests.
3. The Monetary Model:.
The Monetary Model of the Balance of Payments.
The Monetary Model under Flexible Exchange Rates.
Fundamentals and Exchange Rate Volatility.
Testing Monetary Model Predictions.
4. The Lucas Model:.
The Barter Economy.
The One-Money Monetary Economy.
The Two-Money Monetary Economy.
An Introduction to the Calibration Method.
Calibrating the Lucas Model.
Appendix: Markov Chains.
5. International Real Business Cycles:.
Calibrating the One-Sector Growth Model.
Calibrating a Two-Country Model.
6. Foreign Exchange Market Efficiency:.
Deviations from UIP.
Rational Risk Premia.
Testing Euler Equations.
Apparent Violations of Rationality.
The "Peso Problem".
7. The Real Exchange Rate:.
Some Preliminary Issues.
Deviations from the "Law-of-One-Price".
Long-Run Determinants of the Real Exchange Rate.
Long-Run Analyses of Real Exchange Rates.
8. The Mundell–Fleming Model:.
A Static Mundell–Fleming Model.
Dornbusch's Dynamic Mundell–Fleming Model.
A Stochastic Mundell–Fleming Model.
VAR Analysis of Mundell–Fleming.
Appendix: Solving the Dornbusch Model.
9. The New International Macroeconomics:.
The Redux Model.
Pricing to market.
10. Target-Zone Models:.
Fundamentals of Stochastic Calculus.
The Continuous-Time Monetary Model.
Infinitesimal Marginal Intervention.
Imperfect Target-Zone Credibility.
11. Balance-of-Payments Crises:.
A First-Generation Model.
A Second-Generation Model.
Nelson C. Mark is Professor of Economics at Ohio State University. He has been widely published in journals such as the Economic Journal, Journal of Applied Econometrics, Journal of International Economics, American Economic Review, Journal of Finance, International Economic Review, Journal of Financial Economics, and Journal of Monetary Economics. He is presently editor of Journal of Money, Credit and Banking.
- covers both ad hoc and optimizing models
- integrates theoretical and empirical issues
- presents results step by step