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 13
... Distributed Lags of Past Spot Rates The third empirical representation of speculation has been the use of distributed lag functions of present and past spot rates to represent the expected future spot rate . This has been a popular ...
... Distributed Lags of Past Spot Rates The third empirical representation of speculation has been the use of distributed lag functions of present and past spot rates to represent the expected future spot rate . This has been a popular ...
Page 14
... distributed lag functions as a proxy for the unobservable exchange rate expectations variable . Since the MT ... distributed lag expectations function ) . By utilizing a second - order lag scheme and a complicated constrained regression ...
... distributed lag functions as a proxy for the unobservable exchange rate expectations variable . Since the MT ... distributed lag expectations function ) . By utilizing a second - order lag scheme and a complicated constrained regression ...
Page 15
... distributed lag expectations function is no better ( and may even be less useful ) than the types of exogenous dummies and proxies described above . In addition , if the Fisherian model is correct , then distributed lag exchange rate ...
... distributed lag expectations function is no better ( and may even be less useful ) than the types of exogenous dummies and proxies described above . In addition , if the Fisherian model is correct , then distributed lag exchange rate ...
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