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 9
Page 14
... endogenous explanatory variables and does not include an underlying model of short - term capital flows . The initial empirical estimates of the MT rested on the use of such distributed lag functions as a proxy for the unobservable ...
... endogenous explanatory variables and does not include an underlying model of short - term capital flows . The initial empirical estimates of the MT rested on the use of such distributed lag functions as a proxy for the unobservable ...
Page 18
... endogenous to the model and is a function of other predetermined and endogenous variables already used as explanatory variables ( as Canterbery [ 1974 ] claims ) . Both Haas [ 1974b ] and Canterbery [ 1974 ] point out Van Belle's error ...
... endogenous to the model and is a function of other predetermined and endogenous variables already used as explanatory variables ( as Canterbery [ 1974 ] claims ) . Both Haas [ 1974b ] and Canterbery [ 1974 ] point out Van Belle's error ...
Page 19
... endogenous function of variables other than those normally specified in the MT ( such as economic activity , relative prices , government policies such as tariffs , etc. ) , then previous estimations of the MT were biased , but Van ...
... endogenous function of variables other than those normally specified in the MT ( such as economic activity , relative prices , government policies such as tariffs , etc. ) , then previous estimations of the MT were biased , but Van ...
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