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 16
... equilibrium ) are not stable from one short - run period to the next . In the German case ( Kohlhagen [ 1977b ] ) , the derived expectations function is shown to significantly explain capital flows in several of the periods . Artus ...
... equilibrium ) are not stable from one short - run period to the next . In the German case ( Kohlhagen [ 1977b ] ) , the derived expectations function is shown to significantly explain capital flows in several of the periods . Artus ...
Page 22
... equilibrium will be briefly reviewed . Grubel [ 1963 , 1966 ] presents a theoretical and empirical analysis of both spot and forward markets that explicitly treats interest rate arbitrage , triangular arbitrage , speculation , and ...
... equilibrium will be briefly reviewed . Grubel [ 1963 , 1966 ] presents a theoretical and empirical analysis of both spot and forward markets that explicitly treats interest rate arbitrage , triangular arbitrage , speculation , and ...
Page 37
... equilibrium that is induced by the effects of exchange rate expectations . Many authors include " bandwagon " effects in this category ( i.e. , speculative pur- chases ( sales ) of a currency while it is appreciating ( depreciating ) ...
... equilibrium that is induced by the effects of exchange rate expectations . Many authors include " bandwagon " effects in this category ( i.e. , speculative pur- chases ( sales ) of a currency while it is appreciating ( depreciating ) ...
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