The Behavior of Foreign Exchange Markets: A Critical Survey of the Empirical LiteratureNew York University, Graduate School of Business Administration, Salomon Brothers Center for the Study of Financial Institutions, 1978 - Foreign exchange - 54 pages |
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Page 16
... Artus concludes that they were destabilizing during the float ( where destabilizing expectations are those that imply a rise in the expected future spot rate when current rates are rising ) . However , it is not clear how to interpret Artus ...
... Artus concludes that they were destabilizing during the float ( where destabilizing expectations are those that imply a rise in the expected future spot rate when current rates are rising ) . However , it is not clear how to interpret Artus ...
Page 23
... Artus [ 1976 ] develops and estimates a model of 1969-1975 German money markets that includes an explicit specification of ex- change rate expectations and domestic and foreign exchange interference policy reaction functions . With a ...
... Artus [ 1976 ] develops and estimates a model of 1969-1975 German money markets that includes an explicit specification of ex- change rate expectations and domestic and foreign exchange interference policy reaction functions . With a ...
Page 38
... Artus and Kohlhagen [ 1977b ] have found evidence ( through econometric estimation ) of " bandwagon " effects in the Deutschemark market during some short - term periods . Artus estimates that a one unit increase in the 1973–1975 ...
... Artus and Kohlhagen [ 1977b ] have found evidence ( through econometric estimation ) of " bandwagon " effects in the Deutschemark market during some short - term periods . Artus estimates that a one unit increase in the 1973–1975 ...
Common terms and phrases
Aliber Artus assets Bank biased Canadian dollar Canterbery coefficients concludes covered interest arbitrage covered interest differential covered margin indicator destabilizing speculation Deutschemark deviations from interest deviations from PPP distributed lag dummy variables econometric efficient markets efficient markets hypothesis empirical endogenous equilibrium estimates evidence of destabilizing exchange rate changes exchange rate expectations exogenous expectations function expected future spot explained explanatory variables finds Fisherian Flexible Exchange Rates flexible rate floating exchange rates foreign exchange markets forward exchange rate forward market forward premium forward rate French franc Frenkel and Levich future spot rate Grubel hedging identify imply interest arbitrage interest parity Journal Kohlhagen 1977b market efficiency mimeo monetary policy official demand official intervention paper Pippenger price changes profits proxy random walk hypothesis regression relative prices significant simultaneity bias specification speculative period spot and forward stabilizing Stein studies subsequent spot rate techniques tests theoretical Theory tion transaction costs unstable volatility