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 6
... Frenkel and Levich's data significantly overstate transaction costs , and that transaction costs in their paper therefore may not fully explain deviations from IRP . Frenkel and Levich [ 1977 , 1978 ] show that these transaction costs ...
... Frenkel and Levich's data significantly overstate transaction costs , and that transaction costs in their paper therefore may not fully explain deviations from IRP . Frenkel and Levich [ 1977 , 1978 ] show that these transaction costs ...
Page 34
... Levich [ 1978b ] , Poole [ 1967a ] ) , but why not ? Since they have not shown that the generating process is ... Frenkel and Levich [ 1975 , 1977 , 1978 ] . This latter approach measures deviations from triangular arbitrage equilibrium ...
... Levich [ 1978b ] , Poole [ 1967a ] ) , but why not ? Since they have not shown that the generating process is ... Frenkel and Levich [ 1975 , 1977 , 1978 ] . This latter approach measures deviations from triangular arbitrage equilibrium ...
Page 35
... Frenkel and Levich [ 1977 , 1978 ] use their triangular arbitrage technique to find up to a ten - fold increase in transactions costs with the change from a stable , pegged exchange rate system to a floating , unstable system . The ...
... Frenkel and Levich [ 1977 , 1978 ] use their triangular arbitrage technique to find up to a ten - fold increase in transactions costs with the change from a stable , pegged exchange rate system to a floating , unstable system . The ...
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