This book discusses market microstructure environment within the context of the global financial crisis. In the first part, the market microstructure theory is recalled and the main microstructure models and hypotheses are discussed. The second part focuses on the main effects of the financial downturn through an examination of market microstructure dynamics. In particular, the effects of market imperfections and the limitations associated with microstructure models are discussed. Finally, the new regulations and recent developments for financial markets that aim to improve the market microstructure are discussed. Well-known experts on the subject contribute to the chapters in the book. A must-read for academic researchers, students and quantitative practitioners.

Recent tests using long data series find evidence in favor of long-run PPP (by rejecting either the null hypothesis of unit roots in real exchange rates or the null of no cointegration between nominal exchange rates and relative prices.) These tests may have reached the wrong conclusion. Monte Carlo experiments using artificial data calibrated to nominal exchange rates and disaggregated data on prices show that tests of long-run PPP have serious size biases. They may fail to detect a sizable and economically significant unit root component. For example, in the baseline case which is calibrated to actual price data, unit roots and cointegration tests with a nominal size of five percent have true sizes that range from .90 to .98 in artificial 100-year long data series, even though the unit root component accounts for 42% of the variance of the real exchange rate in sample. On the other hand, tests of stationarity are shown to have very low power in the same circumstances, so it is quite likely that a researcher would reject a unit root and fail to reject stationarity even when the series embodied a large unit root component.

One aim of this book is to examine the causes of fluctuations in the mark/dollar, pound/dollar, and yen/dollar real exchange rates for the period 1972-1994 with quarterly data to determine appropriate policy recommendations to reduce these movements. A second aim is to investigate whether the three real exchange rates are covariance-stationary or not and to which extent they are covariance-stationary, respectively. These aims are reached by using a two-country overshooting model for real exchange rates with real government expenditure and by applying Johansen's maximum likelihood cointegration procedure and a factor model of Gonzalo and Granger to this model.

A Guide to Econometric Methods for the Energy-Growth Nexus presents, explains and compares all the available econometrics methods pertinent to the energy-growth nexus. Chapters cover methods and applications, starting with older econometric methods and moving toward new ones. Each chapter presents the method and facts about its applications, providing step-by-step explanations about the ways the method meets the demands of the field. In addition, applied case studies and practical research steps are included to enhance the learning process. By touching on all relevant econometric methods for the energy-growth nexus, this book gives energy-growth researchers and students all they need to tackle the subject matter. - Presents econometric methods for short- and long-term forecasting - Provides methods and step-by-step explanations on the ways the method meets the demands of the field - Contains applied case studies and practical research steps

This book discusses the future of Asian currencies in a changing monetary system assessing the roles of the dollar, Euro and yen.

This paper addresses several questions about the time series processes followed by dollar exchange rates. The stochastic process for exchange rates implied by structural models and the conditions under which they would be described by random walks are examined. Tests on the univariate time series for dollar exchange rates are undertaken to determine if there is evidence for departures from a random walk. Multivariate tests examine whether longer-run movements in the dollar are linked to those in other economic variables, and whether deviations from these long-run relationships contain information for predicting exchange rate movements.