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 18
... hedging is a function of the quantity of international trade and / or some hypothetical forward exchange rate that equates hedging demand and supply by traders ( an admittedly unobservable and possibly nonexistent variable ) . Van Belle ...
... hedging is a function of the quantity of international trade and / or some hypothetical forward exchange rate that equates hedging demand and supply by traders ( an admittedly unobservable and possibly nonexistent variable ) . Van Belle ...
Page 19
... hedging as represented by a trade proxy is significant in explaining the forward rate . Van Belle and Sakbani [ 1976 ] show that the subsequent trade balance is significant in explaining deviations from interest parity . But , as ...
... hedging as represented by a trade proxy is significant in explaining the forward rate . Van Belle and Sakbani [ 1976 ] show that the subsequent trade balance is significant in explaining deviations from interest parity . But , as ...
Page 43
... hedging has not been very success- ful . Unless someone can develop a model that makes it possible to identify the amount of hedging ( or proportion of trade that is hedged ) , it is not likely that further debate on the empirical ...
... hedging has not been very success- ful . Unless someone can develop a model that makes it possible to identify the amount of hedging ( or proportion of trade that is hedged ) , it is not likely that further debate on the empirical ...
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