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 9
... Grubel [ 1966 ] and tested by Stoll [ 1968 ] , Kesselman [ 1971 ] , Haas [ 1974a ] , and McCallum [ 1977 ] , specifies that the forward rate is determined by both the IRP relationship and exchange rate expecta- tions . In the limiting ...
... Grubel [ 1966 ] and tested by Stoll [ 1968 ] , Kesselman [ 1971 ] , Haas [ 1974a ] , and McCallum [ 1977 ] , specifies that the forward rate is determined by both the IRP relationship and exchange rate expecta- tions . In the limiting ...
Page 22
... Grubel [ 1963 , 1966 ] presents a theoretical and empirical analysis of both spot and forward markets that explicitly treats interest rate arbitrage , triangular arbitrage , speculation , and official intervention for a number of ...
... Grubel [ 1963 , 1966 ] presents a theoretical and empirical analysis of both spot and forward markets that explicitly treats interest rate arbitrage , triangular arbitrage , speculation , and official intervention for a number of ...
Page 26
... Grubel [ 1965 ] finds that in the 1959 pound sterling market , interest rate differentials ( specifically , higher relative U.K. interest rates and a subsequent dis- count on forward pounds ) implied highly profitable speculative ...
... Grubel [ 1965 ] finds that in the 1959 pound sterling market , interest rate differentials ( specifically , higher relative U.K. interest rates and a subsequent dis- count on forward pounds ) implied highly profitable speculative ...
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