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 4
Page 8
... Fisherian Expectations and Forward Rate Determination An argument about the IRPT has developed in both the theoretical and operational literature over whether or not interest parity can be achieved merely through price setting by ...
... Fisherian Expectations and Forward Rate Determination An argument about the IRPT has developed in both the theoretical and operational literature over whether or not interest parity can be achieved merely through price setting by ...
Page 9
... Fisherian expectations where relative interest differentials equal the forward premium which equals the expected change in the exchange rate , attempts to test the MT by regres- sing the forward rate on the interest parity forward rate ...
... Fisherian expectations where relative interest differentials equal the forward premium which equals the expected change in the exchange rate , attempts to test the MT by regres- sing the forward rate on the interest parity forward rate ...
Page 15
... Fisherian model is correct , then distributed lag exchange rate expectations functions are misspecified and the relative impacts of interest arbitrage and expectations are unidentifi- able since they are both correctly represented by ...
... Fisherian model is correct , then distributed lag exchange rate expectations functions are misspecified and the relative impacts of interest arbitrage and expectations are unidentifi- able since they are both correctly represented by ...
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