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
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Page 32
... France , and Spain , and shows that exchange markets do follow a random walk and are efficient in the absence of ... French franc where spectral analysis implies a random market , while simple filter rules produce significant profits ...
... France , and Spain , and shows that exchange markets do follow a random walk and are efficient in the absence of ... French franc where spectral analysis implies a random market , while simple filter rules produce significant profits ...
Page 36
... French franc of 1922-1926 did he actually present enough evidence to make a defensible case for the existence of destabilizing speculation . Friedman notes that if speculation is profitable , then it is likely to be stabilizing ( see ...
... French franc of 1922-1926 did he actually present enough evidence to make a defensible case for the existence of destabilizing speculation . Friedman notes that if speculation is profitable , then it is likely to be stabilizing ( see ...
Page 40
... French franc than French prices as a major indicator of destabilizing speculation . The evidence that he uses is criticized by Pippenger [ 1973b ] as discussed above . Thomas [ 1973a , 1973b ] , whose biased estimates are discussed in ...
... French franc than French prices as a major indicator of destabilizing speculation . The evidence that he uses is criticized by Pippenger [ 1973b ] as discussed above . Thomas [ 1973a , 1973b ] , whose biased estimates are discussed in ...
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