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 5
... Interest Rate Parity Theory ( IRPT ) The IRPT was the first suggested explanation of the relation- ship between spot and forward rates . Briefly stated , this theory implies that the forward premium ... Interest Rate Parity Theory (IRPT)
... Interest Rate Parity Theory ( IRPT ) The IRPT was the first suggested explanation of the relation- ship between spot and forward rates . Briefly stated , this theory implies that the forward premium ... Interest Rate Parity Theory (IRPT)
Page 7
... interest parity between Eurocurrency deposit rates than between U.S. and U.K. Treasury bills shows that differences in political risks include the differential probabilities of government controls on capital flows , exchange ...
... interest parity between Eurocurrency deposit rates than between U.S. and U.K. Treasury bills shows that differences in political risks include the differential probabilities of government controls on capital flows , exchange ...
Page 8
... interest parity can be achieved merely through price setting by dealers without the need for capital flows ( Goldstein [ 1965b ] , Pippenger [ 1972 ] , and Roll and Solnik [ 1975b ] ) . Goldstein presents evidence on the speed of ...
... interest parity can be achieved merely through price setting by dealers without the need for capital flows ( Goldstein [ 1965b ] , Pippenger [ 1972 ] , and Roll and Solnik [ 1975b ] ) . Goldstein presents evidence on the speed of ...
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