2023/24
61344 - Economics Exchange Rates and Monetary Integration
Optional
1. General information
Exchange rate economics is an area of international finance that is continually advancing and generating high interest among academics, policy makers and professionals. The main objective of this subject is to introduce students to academic research on exchange rates and monetary integration processes. A first objective is to analyse the determination of exchange rates from a theoretical point of view; a second objective is to know and apply the econometric techniques for contrasting exchange rate determination models. To this end, the student will be provided with the appropriate tools in terms of data analysis and computation.
These approaches and objectives are aligned with the Sustainable Development Goals (SDGs) of the United Nations 2030 Agenda (https://www.un.org/sustainabledevelopment/es/), specifically, the activities planned in the subject will contribute to the achievement of Goals 4, 8 and 11.
3. Syllabus
Part I. An overview
Monetary and financial relations
Foreign exchange markets and exchange rates
Exchange rate regimes and exchange rate policy
Evolution of the international monetary system
The role of major currencies
Peripheral currencies and financial crises
European monetary union
Debt crisis in euro countries
Part II. Theoretical research on exchange rates
Efficiency in the exchange rate market: interest parity
Purchasing power parity and real exchange rate
Real exchange rate equilibrium
Macroeconomic fundamentals of the exchange rate
The microstructure of the exchange rate market
Part III. The empirical world
Introduction to programming
Contrasts of unit root and PPP and UIP real exchange rate Cointegration techniques panel data applications
Persistence measures
Fractional integration
Structural change
Non-linear models: TAR, STAR and MS
4. Academic activities
The activities and key dates of the subject will be communicated through the appropriate means at the beginning of the term. The dates will be set according to the academic calendar and the schedule established by the School of Economics and Business. As a guideline, activities will include:
- The first session will include a presentation of the subject and the objectives to be achieved.
- Theoretical, practical and theoretical-practical classes will amount to 2 hours per week until completing the 30 classroom hours.
- There will be complementary activities such as seminars, conferences and training workshops.
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