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 19
... forward exchange rate . Only Black found any of these variables to be significant . The most successful effort has been accomplished by Dooley [ 1974 ] , who found that the future trade balance was significant in explain- ing U.S. ...
... forward exchange rate . Only Black found any of these variables to be significant . The most successful effort has been accomplished by Dooley [ 1974 ] , who found that the future trade balance was significant in explain- ing U.S. ...
Page 24
... 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 rates and relative interest rates declined ...
... 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 rates and relative interest rates declined ...
Page 52
... Forward Exchange Market Under Fixed and Flexible Exchange Rate Systems , " Canadian Journal of Economics , February , pp . 55-78 . 1972 , " Causes of Deviation from Interest - Rate Parity , A Comment , " Journal of Money , Credit , and ...
... Forward Exchange Market Under Fixed and Flexible Exchange Rate Systems , " Canadian Journal of Economics , February , pp . 55-78 . 1972 , " Causes of Deviation from Interest - Rate Parity , A Comment , " Journal of Money , Credit , 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