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 4
... coefficient on the contemporaneous relative price variable is only significantly larger than 0.2 for two of the ... coefficient is not significantly different from unity , and for the other two indices he finds the slope coefficient ...
... coefficient on the contemporaneous relative price variable is only significantly larger than 0.2 for two of the ... coefficient is not significantly different from unity , and for the other two indices he finds the slope coefficient ...
Page 18
... coefficients . This , of course , is not true if : ( 1 ) hedging is a predetermined explanatory variable that has been left out of the model ( as Van Belle claims ) , or ( 2 ) it is endogenous to the model and is a function of other ...
... coefficients . This , of course , is not true if : ( 1 ) hedging is a predetermined explanatory variable that has been left out of the model ( as Van Belle claims ) , or ( 2 ) it is endogenous to the model and is a function of other ...
Page 20
... coefficients by merely ignoring it . In addition , many of the parameters in a model of the forward market may be identifiable even if official demand is not included . If however , official forward demand is actually a function of ...
... coefficients by merely ignoring it . In addition , many of the parameters in a model of the forward market may be identifiable even if official demand is not included . If however , official forward demand is actually a function of ...
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