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 10
... indicator , the underly- ing contention of which is that during periods when the covered interest differential is zero arbitragers must be dominant in the foreign exchanges , while speculators must be dominant ... Covered Margin Indicators.
... indicator , the underly- ing contention of which is that during periods when the covered interest differential is zero arbitragers must be dominant in the foreign exchanges , while speculators must be dominant ... Covered Margin Indicators.
Page 11
... covered margin indicator is suspect on purely theoretical grounds as well . As discussed above and as recognized by many of these authors , a zero covered margin is not inconsistent with significant ( and even enormous ) speculative ...
... covered margin indicator is suspect on purely theoretical grounds as well . As discussed above and as recognized by many of these authors , a zero covered margin is not inconsistent with significant ( and even enormous ) speculative ...
Page 40
... covered margin indicator as evidence of destabilizing speculation ( Aliber [ 1970 ] ) . As discussed ear- lier , the presence of a significant covered interest differential is neither a necessary nor a sufficient condition for the ...
... covered margin indicator as evidence of destabilizing speculation ( Aliber [ 1970 ] ) . As discussed ear- lier , the presence of a significant covered interest differential is neither a necessary nor a sufficient condition for the ...
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