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 1
... empirical work on the foreign exchange markets . A selection has been included in this survey if it was considered to have made an empirical contribution either by econometric work or organized data that supported or criticized a ...
... empirical work on the foreign exchange markets . A selection has been included in this survey if it was considered to have made an empirical contribution either by econometric work or organized data that supported or criticized a ...
Page 2
A Critical Survey of the Empirical Literature Steven W. Kohlhagen. asset markets through the Interest Rate Parity ( IRP ) literature . The third introduces the five major ways that expectations have been incorporated into the empirical ...
A Critical Survey of the Empirical Literature Steven W. Kohlhagen. asset markets through the Interest Rate Parity ( IRP ) literature . The third introduces the five major ways that expectations have been incorporated into the empirical ...
Page 23
... empirically identify the proportion of cover- ing undertaken by traders or arbitragers . Also , the empirical parts of the paper consist of capital flow rather than foreign exchange estimations . Artus [ 1976 ] develops and estimates a ...
... empirically identify the proportion of cover- ing undertaken by traders or arbitragers . Also , the empirical parts of the paper consist of capital flow rather than foreign exchange estimations . Artus [ 1976 ] develops and estimates a ...
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