计量经济分析 = Econometric analysis

Forward exchange rate unbiasedness is rejected in tests from the current floating exchange rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) survey. It documents that the change in the future exchange rate is generally negatively related to the forward discount. Properties of the expected forward forecast error are reviewed. Issues such as the relation of uncovered interest parity to real interest parity, and the implications of uncovered interest parity for cointegration of various quantities are discussed. The modeling and testing for risk premiums is surveyed. Included in this area are tests of the consumption CAPM, tests of the latent variable model, and portfolio-balance models of risk premiums. General equilibrium models of the risk premium are examined and their empirical implications explored. The survey does not cover the important areas of learning and peso problems, tests of rational expectations based on survey data, or the models of irrational expectations and speculative bubbles.

https://papers.ssrn.com/sol3/Delivery.cfm/nber_w5312.pdf?abstractid=225376&mirid=1

The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence

https://www.ssc.wisc.edu/~cengel/PublishedPapers/RiskPremiumSurvey.pdf

The forward discount anomaly and the risk premium: A survey of recent evidence

The authors provide a theoretical interpretation of two features of international data: the countercyclical movements in net exports and the tendency for the trade balance to be negatively correlated with current and future movements in terms of trade but positively correlated with past movements. They document the same properties in a two-country stochastic growth model in which trade fluctuations reflect, in large part, the dynamics of capital formation. The authors find that their general-equilibrium perspective is essential: the relation between the trade balance and the terms of trade depends critically on the source of fluctuations. Copyright 1994 by American Economic Association.

/pdf/dynamics-of-the-trade-balance-and-the-terms-of-trade-the-j-4keqlv2uhj.pdf

Dynamics of the trade balance and the terms of trade: The J-curve?

We address the fact that the incidence of speculative attacks tends to be temporally correlated; that is, currency crises appear to pass "contagiously" from one country to another. The paper provides a survey of the theoretical literature. We also provide empirical evidence consistent with the contagious nature of currency crises. We estimate that the existence of a currency crisis elsewhere in the world (whether successful or not) raises the probability of an attack on the domestic currency by 8 percent, even after taking account of a variety of domestic political and economic factors.

Contagious Currency Crises: First Tests*

The Second World War was clearly a defining moment in British history but it was also of immense importance to the British film industry. What started out as a means of conveying propaganda became a way of revisiting, reshaping and rethinking the experiences of the war years. The war brought the British film industry to the forefront of national consciousness in a way it had never managed before and has never regained since, and it helped to launch the careers of several major directors: Powell and Pressburger, David Lean, Carol Reed, and so on. This book provides a uniquely comprehensive account of how we, as a nation, have portrayed the war through films.

British Cinema and the Second World War

British films of the 1960s are undervalued. Their search for realism has often been dismissed as drabness and their more frivolous efforts can now appear just empty-headed. Robert Murphy's "Sixties British Cinema" is the first study to challenge this view. He shows that the realist tradition of the late '50s and early '60s was anything but dreary and depressing, and gave birth to a clutch of films remarkable for their confidence and vitality: "Saturday Night and Sunday Morning, A Kind of Loving," and "A Taste of Honey" are only the better known titles. "Sixties British Cinema "revalues key genres of the period - horror, crime, and comedy - and takes a fresh look at the "swinging London" films, finding disturbing undertones that reflect the cultural changes of the decade. Now that our cinematic past is constantly recycled on television, Murphy's informative, engaging, and perceptive review of these films and their cultural and industrial context offers an invaluable guide to this neglected era of British cinema.

Sixties British Cinema

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This paper considers whether the Plaza Agreement of September 1985 marked the beginning of a fundamental shift in the exchange-rate policy regime for the United States, the former West Germany, and Japan. The paper uses a simple monetary model of the open economy to illustrate how the exchange rate responses to news about the trade balance when the government authorities gear policy toward resolving external imbalances. The paper finds that U.S. dollars exchange rates against the Japanese yen and the West German mark respond strongly to news about the U.S. trade deficit during the period following the Plaza Agreement but not during the period preceding the Agreement. This evidence, evaluated in the context of the simple model, suggests that the Plaza Agreement marked a significant shift toward more active government management of exchange rates. Copyright 1991 by Ohio State University Press.

Managing the Dollar: Has the Plaza Agreement Mattered?

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