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 15
... predict the probability of devaluation for a series of countries , using a combination of official reserve growth ratios , broad money supply growth , consumer price changes , export to import ratios , invest- ment service to official ...
... predict the probability of devaluation for a series of countries , using a combination of official reserve growth ratios , broad money supply growth , consumer price changes , export to import ratios , invest- ment service to official ...
Page 31
... predict ex- change rates : random walk , random walk adjusted for interest rate dif- ferentials , the forward rate , a Box - Jenkins univariate analysis , and an exponential smoothing effect . They find that the random walk hypothesis ...
... predict ex- change rates : random walk , random walk adjusted for interest rate dif- ferentials , the forward rate , a Box - Jenkins univariate analysis , and an exponential smoothing effect . They find that the random walk hypothesis ...
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