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 14
Page 4
... econometric evi- dence that the PPPT is invalid or concomitantly that goods markets are inefficient in the long - run . However , for short , unstable , flexible rate periods , there is conflicting evidence as to whether or not ...
... econometric evi- dence that the PPPT is invalid or concomitantly that goods markets are inefficient in the long - run . However , for short , unstable , flexible rate periods , there is conflicting evidence as to whether or not ...
Page 38
... econometric techniques . Poole [ 1967b ] uses filter tests and statistical random walk analysis to show that the 1952- 1962 floating Canadian dollar was subject to stabilizing speculation that prevented unnecessary seasonal , daily , or ...
... econometric techniques . Poole [ 1967b ] uses filter tests and statistical random walk analysis to show that the 1952- 1962 floating Canadian dollar was subject to stabilizing speculation that prevented unnecessary seasonal , daily , or ...
Page 43
... econometric work in this literature has been unnecessarily sloppy . It is quite clear from the basic foreign exchange market models that interest rates and spot and forward exchange rates are simultaneously determined , and yet these ...
... econometric work in this literature has been unnecessarily sloppy . It is quite clear from the basic foreign exchange market models that interest rates and spot and forward exchange rates are simultaneously determined , and yet these ...
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