KTTS4170 Economics of Exchange Rates (5 cr)

Study level:
Advanced studies
Grading scale:
0-5
Language:
English
Responsible organisation:
Jyväskylä University School of Business and Economics
Curriculum periods:
2017-2018, 2018-2019, 2019-2020

Description

Content

Purchasing Power Parity. Covered and Uncovered Interest Rate Parity. Currency and interest rate arbitrage. Efficiency of foreign and forward foreign exchange market. Rational expectations in currency market. Risk premium in foreign exchange market. Traditional macro models for exchange rate determination: Monetary model, Dornbusch overshooting model, portfolio balance model. Exchange rate regimes. Empirical testing of foreign exchange models. Basics of microstructure in foreign exchange. Some recent topics in foreign exchange.

Completion methods

Contact teaching course. Organized biannually in even years, autumn semester 2nd period. The study methods of the contact teaching course are specified in the study program annually.

Book exam: academic year

Assessment details

Accepted completion of the designated assignments. The assessment criteria of the course is specified in the study program annually.

Learning outcomes

On successful completion of the course, students will be able to:

- be aware of exchange rate dynamics
- comprehend the basic theories of the foreign exchange
- explain the causes and consequences of exchange rate fluctuations
- analyze the impacts of economic policy on exchange rate
- evaluate the efficiency of foreign exchange market
- evaluate and forecast exchange rate
- model exchange rate dynamics

Additional information

Recommended timing for Finnish M.Sc. degree students: 3rd or 4th year.

Description of prerequisites

KTTA2160 Macroeconomics
KTTA2150 Microeconomics
KTTA1120 Introduction to Econometrics
KTTS1110 Mathematical Economics II

Study materials

Supplementary reading list is provided in the course.

Literature

  • Cuthbertson, K. & Nitzsche, D. 2004. Quantitative Financial Economics: Stocks Bonds and Foreign Exchange. 2nd Edition, Wiley, Chapters 24–27.; ISBN: 9780273683063
  • Copeland, L. 2014. Exchange Rates and International Finance. 6th edition.; ISBN: 0273786075

Completion methods

Method 1

Select all marked parts

Method 2

Select all marked parts
Parts of the completion methods
x

Teaching (5 cr)

Type:
Participation in teaching
Grading scale:
0-5
Language:
English
No published teaching
x

Exam (5 cr)

Type:
Exam
Grading scale:
0-5
Language:
English

Teaching