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 |
From inside the book
Results 1-3 of 13
Page 12
... bank forward positions less the change in spot positions to eliminate bank arbitrage demand . The results of his test were slightly better than Glahe's , but did not change the conclusion that Stein's theory provides no better than a ...
... bank forward positions less the change in spot positions to eliminate bank arbitrage demand . The results of his test were slightly better than Glahe's , but did not change the conclusion that Stein's theory provides no better than a ...
Page 21
... bank demand for net foreign assets is represented as a function of deviations of the spot rate from the target rate , and the percentage change in the spot rate . The target spot rate is then specified as a function of relative prices ...
... bank demand for net foreign assets is represented as a function of deviations of the spot rate from the target rate , and the percentage change in the spot rate . The target spot rate is then specified as a function of relative prices ...
Page 53
... Bank for International Settlements H.H. Schloss The Currency - Holding Behavior of the Public and the Strength of ... Bank Supervisors on Bank Capital Lucille S. Mayne U.S. Bank Expansion via Foreign Branching ; Monetary Policy ...
... Bank for International Settlements H.H. Schloss The Currency - Holding Behavior of the Public and the Strength of ... Bank Supervisors on Bank Capital Lucille S. Mayne U.S. Bank Expansion via Foreign Branching ; Monetary Policy ...
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