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 10
... proxy for speculative pressure and uses it as an explanatory variable in his capital flow estimation . This paper later came under a barrage of criticism , a significant portion of which was directed at this proxy variable . Both ...
... proxy for speculative pressure and uses it as an explanatory variable in his capital flow estimation . This paper later came under a barrage of criticism , a significant portion of which was directed at this proxy variable . Both ...
Page 17
... proxy for the expected future spot rate . He uses this proxy for expectations in place of a distributed lag formulation in Stoll - Haas - Kesselman - type tests of speculative influences in the MT . He finds that ( contrary to Haas and ...
... proxy for the expected future spot rate . He uses this proxy for expectations in place of a distributed lag formulation in Stoll - Haas - Kesselman - type tests of speculative influences in the MT . He finds that ( contrary to Haas and ...
Page 18
... proxy for hedging in the current period , correctly criticizing Kesselman [ 1971 ] for having used lagged values of the trade balance as a proxy for hedging . Canterbery [ 1976 ] objects to Van Belle and Sakbani's procedure as what he ...
... proxy for hedging in the current period , correctly criticizing Kesselman [ 1971 ] for having used lagged values of the trade balance as a proxy for hedging . Canterbery [ 1976 ] objects to Van Belle and Sakbani's procedure as what he ...
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