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 9
... exchange rate expectations on forward rate determination are very difficult1 The Modern Theory ( MT ) of forward rate determination , as summarized by Grubel [ 1966 ] and tested by Stoll [ 1968 ] , Kesselman [ 1971 ] , Haas [ 1974a ] ...
... exchange rate expectations on forward rate determination are very difficult1 The Modern Theory ( MT ) of forward rate determination , as summarized by Grubel [ 1966 ] and tested by Stoll [ 1968 ] , Kesselman [ 1971 ] , Haas [ 1974a ] ...
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 26
... exchange rate . Thus , the forward rate equals the expected future spot rate plus a premium positively correlated with risk . Cornell [ 1977 ] tests the Grauer , Litzenberger , and Stehle specification for the 1973-1977 Chicago Mercantile ...
... exchange rate . Thus , the forward rate equals the expected future spot rate plus a premium positively correlated with risk . Cornell [ 1977 ] tests the Grauer , Litzenberger , and Stehle specification for the 1973-1977 Chicago Mercantile ...
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