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 18
... biased coefficients . It is true ( as Van Belle [ 1974 ] and Van Belle and Sakbani [ 1976 ] later claim ) that the MT ( without hedging ) is misspecified if their distinction between hedging and speculation is correct - but the esti ...
... biased coefficients . It is true ( as Van Belle [ 1974 ] and Van Belle and Sakbani [ 1976 ] later claim ) that the MT ( without hedging ) is misspecified if their distinction between hedging and speculation is correct - but the esti ...
Page 24
... biased predictor ( in one direction or the other ) of the future exchange rate over a given period of time if : ( 1 ) exchange rate expectations are incorrect and biased away from the subsequent spot rate in one direction , or ( 2 ) the ...
... biased predictor ( in one direction or the other ) of the future exchange rate over a given period of time if : ( 1 ) exchange rate expectations are incorrect and biased away from the subsequent spot rate in one direction , or ( 2 ) the ...
Page 25
... biased predictor of the future spot rate but that the question is " ill - conceived " -the forward rate cannot be ... biased if it is defined to be the price of foreign exchange , while actually proving that it is biased when defined as ...
... biased predictor of the future spot rate but that the question is " ill - conceived " -the forward rate cannot be ... biased if it is defined to be the price of foreign exchange , while actually proving that it is biased when defined as ...
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