Ects : 3

Enseignant responsable :

• EVGENIA PASSARI

Volume horaire : 24

Description du contenu de l'enseignement :

The aim of this module is to provide a thorough foundation of the key concepts in international finance with a focus on exchange rate economics. The module begins with an overview of the institutional characteristics of the foreign exchange market and subsequently examines the fundamental determinants of exchange-rate dynamics. By the end of the course the students will be familiar with both the theoretical models and the empirical evidence regarding exchange-rate behaviour. Emphasis will be given to the implications of these outcomes for exchange rate forecasting, international diversification and investment decisions.

Course outline

• Week 1: Foreign Exchange Market Structure
• Weeks 2 and 3: Foreign Exchange Market Eficiency
• Weeks 4 and 5: Real Exchange Rate and Purchasing Power Parity
• Week 6: Balance of Payments
• Weeks 7 and 8: Exchange Rate Determination

Coefficient : M1 Finance - FI : Coefficient 0.5 and M1 Financial Markets : Coefficient 1.5

Mode de contrôle des connaissances :

Mid-term (30%) and final exam (70%).

Bibliographie, lectures recommandées

General Bekaert, G. and R.J. Hodrick (2009). International Financial Management. New Jersey: Pearson Education. Sarno, L. and M.P. Taylor, (2005), The Economics of Exchange Rates, Cambridge University Press. Specific Week 1

• Bekaert and Hodrick, Ch. 2 & 3.
• King, M.R., Osler, C. and D. Rime (2012). Foreign Exchange Market Structure, Players and Evolution, in James, Marsh and Sarno (eds.), Handbook of Exchange Rates, Wiley.
• Foucault, T., Kozhan R. and W. Wah Tham (2017). Toxic Arbitrage Review of Financial Studies, 30, 1053-1094.

Weeks 2 and 3

• Bekaert and Hodrick, Ch. 6 & 7.
• Akram, Q.F., Rime, D., and L. Sarno (2008). Arbitrage in the Foreign Exchange Market: Turning on the Microscope, Journal of International Economics, 76, 237-253.

Weeks 4 and 5

• Bekaert and Hodrick, Ch. 8 & 9.
• Marsh, I., Passari, E., and L. Sarno (2012). Purchasing Power Parity in Tradable Goods, in James, J., L. Sarno and I.W. Marsh (eds.) Handbook of Exchange Rates, London: Wiley.

Week 6

• Bekaert and Hodrick, Ch. 4 & 5.
• Rey, H. (2013). Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence, Federal Reserve Bank of Kansas City Economic Policy Symposium.

Weeks 7 and 8

• Bekaert and Hodrick, Ch. 10.
• Mark N. C. (1995). Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability, The American Economic Review, 85, 201-218