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
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Page 10
... explanatory variables are spot rate changes and the uncovered interest differential ) , simultaneity bias ( he treats both the covered and uncovered interest differential as predetermined variables in explaining short - term capital ...
... explanatory variables are spot rate changes and the uncovered interest differential ) , simultaneity bias ( he treats both the covered and uncovered interest differential as predetermined variables in explaining short - term capital ...
Page 14
... explanatory variables . The paper ignores the simultaneity bias introduced by the endogenous explanatory variables and does not include an underlying model of short - term capital flows . The initial empirical estimates of the MT rested ...
... explanatory variables . The paper ignores the simultaneity bias introduced by the endogenous explanatory variables and does not include an underlying model of short - term capital flows . The initial empirical estimates of the MT rested ...
Page 18
... explanatory variable that has been left out of the model ( as Van Belle claims ) , or ( 2 ) it is endogenous to the model and is a function of other predetermined and endogenous variables already used as explanatory variables ( as ...
... explanatory variable that has been left out of the model ( as Van Belle claims ) , or ( 2 ) it is endogenous to the model and is a function of other predetermined and endogenous variables already used as explanatory variables ( as ...
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