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 5
... arbitrage . Empirical studies of this theory have been directed at explaining whether observed deviations from the so - called interest parity can be explained by transaction costs , differential risks ... Interest Rate Parity Theory (IRPT)
... arbitrage . Empirical studies of this theory have been directed at explaining whether observed deviations from the so - called interest parity can be explained by transaction costs , differential risks ... Interest Rate Parity Theory (IRPT)
Page 6
... interest parity can be explained by speculative capital flows in the absence of an upward sloping arbitrage supply ... interest parity . a . Deviations Due to Transaction Costs A principal explanation for observed deviations from IRP has ...
... interest parity can be explained by speculative capital flows in the absence of an upward sloping arbitrage supply ... interest parity . a . Deviations Due to Transaction Costs A principal explanation for observed deviations from IRP has ...
Page 9
... interest arbitrage and 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 ...
... interest arbitrage and 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 ...
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