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 9
Page 21
... fluctuations through systematic intervention during 1950- 1956 two - day fluctuations were reduced by almost two - thirds , weekly fluctuations by 50 percent , monthly by only 8 percent , and three - month or longer fluctuations were ...
... fluctuations through systematic intervention during 1950- 1956 two - day fluctuations were reduced by almost two - thirds , weekly fluctuations by 50 percent , monthly by only 8 percent , and three - month or longer fluctuations were ...
Page 24
... fluctuations have been much greater with floating exchange rates than with pegged rates ( although Aliber [ 1975a ] shows that the fluctuations in both spot and forward markets and the future spot rate forecasting errors of both forward ...
... fluctuations have been much greater with floating exchange rates than with pegged rates ( although Aliber [ 1975a ] shows that the fluctuations in both spot and forward markets and the future spot rate forecasting errors of both forward ...
Page 38
... fluctuations . One serious problem with his anlysis , however , is that he uses total short - term capital flows as a proxy for speculative capital flows . Stein and Tower [ 1967 ] test a model of exchange rate equi- librium and ...
... fluctuations . One serious problem with his anlysis , however , is that he uses total short - term capital flows as a proxy for speculative capital flows . Stein and Tower [ 1967 ] test a model of exchange rate equi- librium and ...
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