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
Results 1-3 of 15
Page 1
... profits net of transac- tion costs . In the foreign exchange markets , this implies that exchange rates should be such that economic agents are unable to make “ unusual ” profits from simultaneously buying and selling internationally ...
... profits net of transac- tion costs . In the foreign exchange markets , this implies that exchange rates should be such that economic agents are unable to make “ unusual ” profits from simultaneously buying and selling internationally ...
Page 25
... profits from this conclusion are " empirically . . . impercepti- ble . " Specifically , he shows that with reasonable conditions in the markets , one would need roughly 340 years of quarterly data for any such bias to be statistically ...
... profits from this conclusion are " empirically . . . impercepti- ble . " Specifically , he shows that with reasonable conditions in the markets , one would need roughly 340 years of quarterly data for any such bias to be statistically ...
Page 33
... profits . In addition , they utilize a semistrong form test , and conclude that reaction to Federal Reserve rediscount rate changes has random effects around the an- nouncement dates and no systematic lagged effects in the market ( i.e. ...
... profits . In addition , they utilize a semistrong form test , and conclude that reaction to Federal Reserve rediscount rate changes has random effects around the an- nouncement dates and no systematic lagged effects in the market ( i.e. ...
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