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 2
... deviations from PPP . This section essentially reviews the literature that has subjected the PPPT to econometric testing . For more thorough reviews of the PPP literature that go well beyond the scope of this survey , including the ...
... deviations from PPP . This section essentially reviews the literature that has subjected the PPPT to econometric testing . For more thorough reviews of the PPP literature that go well beyond the scope of this survey , including the ...
Page 3
... PPP holds in the short run , especially with flexible exchange rates . Aliber [ 1962 ] argues that the flexible exchange rate experience of post - World War I Europe reflected destabilizing speculation that induced deviations from PPP ...
... PPP holds in the short run , especially with flexible exchange rates . Aliber [ 1962 ] argues that the flexible exchange rate experience of post - World War I Europe reflected destabilizing speculation that induced deviations from PPP ...
Page 4
... deviations from PPP are significant . It is worth noting , however , that the econometric work that has been used to test this hypothesis has ignored several problems , most importantly how well the data adequately represent a typical ...
... deviations from PPP are significant . It is worth noting , however , that the econometric work that has been used to test this hypothesis has ignored several problems , most importantly how well the data adequately represent a typical ...
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