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 8
... Forward Rate Determination An argument about the IRPT has developed in both ... premium or discount . Only if real interest rates across countries are ... forward premium or discount that was equal to the interest agio , and it would also ...
... Forward Rate Determination An argument about the IRPT has developed in both ... premium or discount . Only if real interest rates across countries are ... forward premium or discount that was equal to the interest agio , and it would also ...
Page 25
... forward rate ( measured as the price of foreign exchange ) equals the expected future spot rate ( measured in this ... premium ( or discount ) will equal the expected exchange rate change plus a term dependent on the exchange risk coveriances ...
... forward rate ( measured as the price of foreign exchange ) equals the expected future spot rate ( measured in this ... premium ( or discount ) will equal the expected exchange rate change plus a term dependent on the exchange risk coveriances ...
Page 26
... forward premium is associated ceteris paribus with a subsequent one - unit increase in the actual exchange rate , it also implies that an increase in the weighted average of all forward biases ( against the currency being studied ) is ...
... forward premium is associated ceteris paribus with a subsequent one - unit increase in the actual exchange rate , it also implies that an increase in the weighted average of all forward biases ( against the currency being studied ) is ...
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