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 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 25
... rate is a biased predictor of the future spot rate but that the question is " ill - conceived " -the forward rate cannot be equal to the two alternative ways of expressing the expected future spot rate.11 Mcculloch [ 1975 ] shows that ...
... rate is a biased predictor of the future spot rate but that the question is " ill - conceived " -the forward rate cannot be equal to the two alternative ways of expressing the expected future spot rate.11 Mcculloch [ 1975 ] shows that ...
Page 26
... rate , it also implies that an increase in the weighted average of all forward biases ( against the currency being ... rate . Thus , the forward rate equals the expected future spot rate plus a premium positively correlated with risk ...
... rate , it also implies that an increase in the weighted average of all forward biases ( against the currency being ... rate . Thus , the forward rate equals the expected future spot rate plus a premium positively correlated with risk ...
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