FINANCE INTERNATIONALE

Professeur

EVGENIA PASSARI - Assistant Professor in Financial Economics, Université Paris - Dauphine

Les objectifs du cours

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 behavior. Emphasis will be given to the implications of these outcomes for exchange rate forecasting, international diversification, and investment decisions.

Plan du cours

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

Bibliographie

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

Examen

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