Edited by Richard J. Sweeney, Chair in International Finance, McDonough School of Business, Georgetown University, US

'This book with its collection of classical and influential articles is a must on the desk of any scholar with an interest in the behavior of foreign exchange rates. Researchers in the field of foreign exchange are provided with an extremely valuable mini-library containing an up-to-date overview of research questions, and in depth analyses of empirical methods and data problems. The collection starts with articles on the failure of fundamentals as determinants of exchange rate behavior. It continues through statistical models and technical analysis to research on the micro structure of foreign exchange markets. In the end the circle is closed with research on the linkages between micro structure and long term exchange rate behavior. The introductory chapter provides an excellent overview of the issues from the micro level to macro policy issues and it includes valuable references to additional literature that could not fit in between the covers.'

• Contents:AcknowledgementsForeword Richard RollIntroduction Richard J. SweeneyPART IFUNDAMENTALS IN THE FOREIGN EXCHANGE MARKET1. Stanley Fischer (2001), ‘Exchange Rate Regimes: Is the Bipolar View Correct?’2. Rudiger Dornbusch (1976), ‘Expectations and Exchange Rate Dynamics’3. Richard A. Meese and Kenneth Rogoff (1983), ‘Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?’4. Nelson C. Mark and Donggyu Sul (2001), ‘Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel’PART IISTATISTICAL MODELS OF THE FOREIGN EXCHANGE MARKET 5. Torben G. Andersen and Tim Bollerslev (1997), ‘Intraday Periodicity and Volatility Persistence in Financial Markets’6. Torben G. Andersen and Tim Bollerslev (1998), ‘Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies’7. Jun Cai, Yan-Leung Cheung, Raymond S.K. Lee and Michael Melvin (2001), ‘“Once-in-a-Generation” Yen Volatility in 1998: Fundamentals, Intervention, and Order Flow’PART IIITECHNICAL ANALYSIS OF FOREIGN EXCHANGE MARKETS8. Christopher J. Neely (2002), ‘The Temporal Pattern of Trading Rule Returns and Exchange Rate Intervention: Intervention Does Not Generate Technical Trading Profits’PART IVCENTRAL BANK INTERVENTION IN THE FOREIGN EXCHANGE MARKET 9. Richard T. Baillie and William P. Osterberg (1997), ‘Why Do Central Banks Intervene?’10. Rasmus Fatum and Michael Hutchison (1999), ‘Is Intervention a Signal of Future Monetary Policy? Evidence from the Federal Funds Futures Market’11. R.J. Sweeney (2000), ‘Does the Fed Beat the Foreign-Exchange Market?’12. Andreas M. Fischer and Mathias Zurlinden (1999), ‘Exchange Rate Effects of Central Bank Interventions: An Analysis of Transaction Prices’13. Kathryn M.E. Dominguez (2003), ‘The Market Microstructure of Central Bank Intervention’PART VMICRO STRUCTURE OF THE FOREIGN EXCHANGE MARKET 14. Richard K. Lyons (1995), ‘Tests of Microstructural Hypotheses in the Foreign Exchange Market’15. Bettina Peiers (1997), ‘Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market’16. Vicentiu Covrig and Michael Melvin (2002), ‘Asymmetric Information and Price Discovery in the FX Market: Does Tokyo Know More About the Yen?’17. Martin D.D. Evans and Richard K. Lyons (2002), ‘Order Flow and Exchange Rate Dynamics’Name Index