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
... estimates , since he calculates them from reduced form estimates that are different from the reduced form equations in his model.10 The specification of an endogenous exchange rate expecta- tions function makes both an expectations ...
... estimates , since he calculates them from reduced form estimates that are different from the reduced form equations in his model.10 The specification of an endogenous exchange rate expecta- tions function makes both an expectations ...
Page 20
... estimates are not particularly useful for forecast- ing purposes , but they are successful as a first try at empirical estimates of official demand in the foreign exchange markets . Girton and Roper [ 1977 ] also specify and estimate a ...
... estimates are not particularly useful for forecast- ing purposes , but they are successful as a first try at empirical estimates of official demand in the foreign exchange markets . Girton and Roper [ 1977 ] also specify and estimate a ...
Page 23
... estimates ( because of the unavailability of weekly observations on relevant instruments ) . Dooley [ 1974 ] develops an in - depth model of spot and forward equilibrium that includes distinct speculation and covered and uncovered ...
... estimates ( because of the unavailability of weekly observations on relevant instruments ) . Dooley [ 1974 ] develops an in - depth model of spot and forward equilibrium that includes distinct speculation and covered and uncovered ...
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