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 20
A Critical Survey of the Empirical Literature Steven W. Kohlhagen. IV . The Treatment of Official Intervention Most models and empirical work on the foreign exchange markets ignore official demand for both spot and forward exchange ...
A Critical Survey of the Empirical Literature Steven W. Kohlhagen. IV . The Treatment of Official Intervention Most models and empirical work on the foreign exchange markets ignore official demand for both spot and forward exchange ...
Page 22
... officials ' behavior was stabilizing . In general , the literature on official intervention in the foreign exchange markets is still primitive . It is certainly the most underdeveloped aspect of the models of foreign exchange market ...
... officials ' behavior was stabilizing . In general , the literature on official intervention in the foreign exchange markets is still primitive . It is certainly the most underdeveloped aspect of the models of foreign exchange market ...
Page 32
... official intervention , but show some signs of inefficiencies when there is evidence of official intervention in the markets.18 Dooley , Shafer , and Smith [ 1974 ] and Dooley and Shafer [ 1975 ] present the results of studies of ...
... official intervention , but show some signs of inefficiencies when there is evidence of official intervention in the markets.18 Dooley , Shafer , and Smith [ 1974 ] and Dooley and Shafer [ 1975 ] present the results of studies 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