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
Results 1-3 of 10
Page 12
... Dummy Variables and Exogenous Proxies The second representation of speculative forces has been the specification of exogenous dummy variables and proxies . Such dummy variables are used frequently in the capital flow literature ...
... Dummy Variables and Exogenous Proxies The second representation of speculative forces has been the specification of exogenous dummy variables and proxies . Such dummy variables are used frequently in the capital flow literature ...
Page 13
... dummy variables representing the Deutschemark revaluation in June 1973 and the beginning and the end of the oil shortage in late 1973 and early 1974 , respectively , while rejecting the use of dummies for the Herstatt crisis and U.S. ...
... dummy variables representing the Deutschemark revaluation in June 1973 and the beginning and the end of the oil shortage in late 1973 and early 1974 , respectively , while rejecting the use of dummies for the Herstatt crisis and U.S. ...
Page 16
... dummy variables . Whereas Kohlhagen [ 1977b ] found that Deutschemark exchange rate expectations were stabilizing ... variables in the expectations function could be more rigorously identified ( the choice of the explanat- ory variables ...
... dummy variables . Whereas Kohlhagen [ 1977b ] found that Deutschemark exchange rate expectations were stabilizing ... variables in the expectations function could be more rigorously identified ( the choice of the explanat- ory variables ...
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