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 24
... Exchange Markets The recent return to floating exchange rates has generated interest and considerable empirical research into how the floating markets have performed , whether or not the foreign exchange markets are effi- cient markets ...
... Exchange Markets The recent return to floating exchange rates has generated interest and considerable empirical research into how the floating markets have performed , whether or not the foreign exchange markets are effi- cient markets ...
Page 31
... floating rates , using five methods to predict ex- change rates : random walk , random walk adjusted for interest rate dif- ferentials , the forward rate , a Box ... exchange markets . rate periods . He points out that this does not 31.
... floating rates , using five methods to predict ex- change rates : random walk , random walk adjusted for interest rate dif- ferentials , the forward rate , a Box ... exchange markets . rate periods . He points out that this does not 31.
Page 35
... exchange rate change , " nervous " markets , disequilibrium exchange rates , and ... floating exchange rates as a result of the market instabilities that make ... costs . equilibrium rates to support his contention . His primary concern 35.
... exchange rate change , " nervous " markets , disequilibrium exchange rates , and ... floating exchange rates as a result of the market instabilities that make ... costs . equilibrium rates to support his contention . His primary concern 35.
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