A Short Course based on
Exchange-Rate Dynamics
Outline
This short
course, spanning three lectures (approximately 3 hours each), examines recent
research on exchange-rate determination. In lecture one I review of the latest
empirical evidence linking exchange-rate variations to macroeconomic
conditions; including the stance of monetary policy and international
indebtedness. Lecture two reviews the theoretical and empirical microstructure
literature on exchange-rate determination. The microstructure approach to exchange-rate determination incorporates key institutional features
of the foreign exchange market into models of currency trading. This
perspective provides new insights into the origins of exchange-rate variations
that have proved empirically successful. In lecture three I discuss recent
research showing how microstructure models are being extended to study the
links between exchange-rate rate dynamics, currency trading patterns, and macroeconomic
conditions.
Reading
Lecture
1:
Chapter 1: Macro Models; particularly sections 1.1 and
1.2
Chapter 3: Empirical Macro Models
Lecture
2:
Chapter 6: Currency Trading Models
Chapter 7: Currency Trading Models: Empirical Evidence
Lecture
3:
Chapter 9: Order Flows and the Macro Economy
Chapter 10: Exchange Rates, Order flows and Macro Data
Releases.