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 5
... assets with nonunitary correlations of returns ( to avoid " putting all his eggs in one basket ' ) . If two assets ' returns are perfectly negatively correlated , then unanticipated gains from holding one will exactly compensate for the ...
... assets with nonunitary correlations of returns ( to avoid " putting all his eggs in one basket ' ) . If two assets ' returns are perfectly negatively correlated , then unanticipated gains from holding one will exactly compensate for the ...
Page 7
... assets produced in different countries are not regarded as perfect substitutes . Murphy [ 1968 ] , Stein [ 1962 , 1968 ] , and Stoll [ 1968 ] , have concluded that the possibility of premature repatriation could explain some but not all ...
... assets produced in different countries are not regarded as perfect substitutes . Murphy [ 1968 ] , Stein [ 1962 , 1968 ] , and Stoll [ 1968 ] , have concluded that the possibility of premature repatriation could explain some but not all ...
Page 39
... assets and buy foreign assets ( both spot and forward ) at current prices , causing domestic interest rates to rise , and foreign interest rates , the current spot rate , and the forward premium to fall . This speculation would also be ...
... assets and buy foreign assets ( both spot and forward ) at current prices , causing domestic interest rates to rise , and foreign interest rates , the current spot rate , and the forward premium to fall . This speculation would also be ...
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