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 2
... market efficiency through tests of for- ward rate bias and the efficient market hypothesis . A concluding section outlines areas for future research . I. Empirical Verification of the Purchasing Power Parity Theory Efficiency in ...
... market efficiency through tests of for- ward rate bias and the efficient market hypothesis . A concluding section outlines areas for future research . I. Empirical Verification of the Purchasing Power Parity Theory Efficiency in ...
Page 30
... Efficient Foreign Exchange Markets There are three versions of market efficiency ( see Fama [ 1970 , 1976 ] for a survey of efficient market studies in domestic capital markets ) . The weak form states that there is no unexploited ...
... Efficient Foreign Exchange Markets There are three versions of market efficiency ( see Fama [ 1970 , 1976 ] for a survey of efficient market studies in domestic capital markets ) . The weak form states that there is no unexploited ...
Page 33
... market ( i.e. , the markets are efficient in this sense ) . Both Logue and Sweeney [ 1977 ] and CSLW [ 1975 ] are careful ... market efficiency . This point is made strongly for the com- modities markets literature in Cargill and Rausser ...
... market ( i.e. , the markets are efficient in this sense ) . Both Logue and Sweeney [ 1977 ] and CSLW [ 1975 ] are careful ... market efficiency . This point is made strongly for the com- modities markets literature in Cargill and Rausser ...
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