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 9
... rate expectations on forward rate determination are very difficult1 The Modern Theory ( MT ) of forward rate determination , as summarized by Grubel [ 1966 ] and ... exchange rate expectations as a 9 Measuring Exchange Rate Expectations.
... rate expectations on forward rate determination are very difficult1 The Modern Theory ( MT ) of forward rate determination , as summarized by Grubel [ 1966 ] and ... exchange rate expectations as a 9 Measuring Exchange Rate Expectations.
Page 15
A Critical Survey of the Empirical Literature Steven W. Kohlhagen. and spot exchange rates as predetermined in a model of forward rate determination , all ... exchange rate expectations function that is a function of the concurrent change 15.
A Critical Survey of the Empirical Literature Steven W. Kohlhagen. and spot exchange rates as predetermined in a model of forward rate determination , all ... exchange rate expectations function that is a function of the concurrent change 15.
Page 16
... exchange rate , changes in relative interest differentials , changes in offi- cial reserves , and relative price changes . He develops a technique for estimating this expectations function through forward exchange equilib- rium , which ...
... exchange rate , changes in relative interest differentials , changes in offi- cial reserves , and relative price changes . He develops a technique for estimating this expectations function through forward exchange equilib- rium , which ...
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