Use this URL to cite or link to this record in EThOS:
Title: Exchange rates : macro and micro fundamentals
Author: Zhang, Guangfeng
ISNI:       0000 0004 2669 1938
Awarding Body: University of Glasgow
Current Institution: University of Glasgow
Date of Award: 2009
Availability of Full Text:
Access from EThOS:
Access from Institution:
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.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: HG Finance ; HA Statistics ; HB Economic Theory ; Q Science (General)