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 18
... future spot rates and the current forward rate . Van Belle [ 1973a ] , on the other hand , feels that hedging is a ... expected future spot rate , and interest rates ( which does not seem implausible ) , then the MT as it has been ...
... future spot rates and the current forward rate . Van Belle [ 1973a ] , on the other hand , feels that hedging is a ... expected future spot rate , and interest rates ( which does not seem implausible ) , then the MT as it has been ...
Page 25
A Critical Survey of the Empirical Literature Steven W. Kohlhagen. future spot rate ( measured in the same way ) if the forward rate ( measured as the price of foreign exchange ) equals the expected future spot rate ( measured in this ...
A Critical Survey of the Empirical Literature Steven W. Kohlhagen. future spot rate ( measured in the same way ) if the forward rate ( measured as the price of foreign exchange ) equals the expected future spot rate ( measured in this ...
Page 26
... forward biases ( against the currency being studied ) is associated with a subsequent increase in the exchange rate . Thus , the forward rate equals the expected future spot rate plus a premium positively correlated with risk . Cornell ...
... forward biases ( against the currency being studied ) is associated with a subsequent increase in the exchange rate . Thus , the forward rate equals the expected future spot rate plus a premium positively correlated with risk . Cornell ...
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