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 2
... markets , including measurements of transactions costs , analyses of the stability of specula- tion , and work on intertemporal market efficiency through tests of for- ward rate bias and the efficient market hypothesis . A concluding ...
... markets , including measurements of transactions costs , analyses of the stability of specula- tion , and work on intertemporal market efficiency through tests of for- ward rate bias and the efficient market hypothesis . A concluding ...
Page 31
... efficient process ( see Stein [ 1977 ] for a more rigorous demonstration of ... markets or the stock market , may be inappropriate to foreign exchange markets ... hypothesis provides the most accurate forecasts ( although the random walk ...
... efficient process ( see Stein [ 1977 ] for a more rigorous demonstration of ... markets or the stock market , may be inappropriate to foreign exchange markets ... hypothesis provides the most accurate forecasts ( although the random walk ...
Page 32
... markets in light of the efficient markets hypothesis , correctly analyzing the spot rate adjusted for relative interest rates . However , whereas the first paper supports the Giddy and Dufey conclusions of nonrandomness , the empir ...
... markets in light of the efficient markets hypothesis , correctly analyzing the spot rate adjusted for relative interest rates . However , whereas the first paper supports the Giddy and Dufey conclusions of nonrandomness , the empir ...
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