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 15
Page 5
... explaining whether observed deviations from the so - called interest parity can be explained by transaction costs , differential risks , inefficiencies , or market imperfections . Officer and Willett [ 1970 ] have provided the ...
... explaining whether observed deviations from the so - called interest parity can be explained by transaction costs , differential risks , inefficiencies , or market imperfections . Officer and Willett [ 1970 ] have provided the ...
Page 12
... explained these forward positions no more than what could be attributed to a completely random explanation . Van Belle [ 1975a ] points out that Glahe's proxy was invalid and should have been represented by the weekly change in ...
... explained these forward positions no more than what could be attributed to a completely random explanation . Van Belle [ 1975a ] points out that Glahe's proxy was invalid and should have been represented by the weekly change in ...
Page 14
... explained by both interest arbitrage and expectations - as opposed to 3.5 percent in the case of Canada was explained by the distributed lag expectations function ) . By utilizing a second - order lag scheme and a complicated ...
... explained by both interest arbitrage and expectations - as opposed to 3.5 percent in the case of Canada was explained by the distributed lag expectations function ) . By utilizing a second - order lag scheme and a complicated ...
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