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 8
... Pippenger [ 1972 ] , and Roll and Solnik [ 1975b ] ) . Goldstein presents evidence on the speed of adjustment to interest parity and the low elasticities of speculative demand to main- tain that it can and to defend himself against the ...
... Pippenger [ 1972 ] , and Roll and Solnik [ 1975b ] ) . Goldstein presents evidence on the speed of adjustment to interest parity and the low elasticities of speculative demand to main- tain that it can and to defend himself against the ...
Page 32
... Pippenger [ 1973a ] , on the other hand , uses spectral anlysis for floating exchange rates in Canada , Norway , England , France , and Spain , and shows that exchange markets do follow a random walk and are efficient in the absence of ...
... Pippenger [ 1973a ] , on the other hand , uses spectral anlysis for floating exchange rates in Canada , Norway , England , France , and Spain , and shows that exchange markets do follow a random walk and are efficient in the absence of ...
Page 50
... Pippenger , John E. , 1967 , “ The Canadian Experience with Flexible Exchange Rates , " American Economic Review , May . 1972 , " Spot Rates , Forward Rates , and Interest Rate Differentials , " Journal of Money , Credit and Banking ...
... Pippenger , John E. , 1967 , “ The Canadian Experience with Flexible Exchange Rates , " American Economic Review , May . 1972 , " Spot Rates , Forward Rates , and Interest Rate Differentials , " Journal of Money , Credit and Banking ...
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