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 31
... random walk hypothesis provides the most accurate forecasts ( although the random walk coupled with a submartingale that includes interest rate differentials perhaps is better ) and thus conclude that they cannot find systematic ...
... random walk hypothesis provides the most accurate forecasts ( although the random walk coupled with a submartingale that includes interest rate differentials perhaps is better ) and thus conclude that they cannot find systematic ...
Page 32
... random walk during this fixed rate period . Levich [ 1978b ] finds support ... hypothesis , correctly analyzing the spot rate adjusted for relative ... hypothesis for later behavior in the markets . Despite extensive empirical work in the ...
... random walk during this fixed rate period . Levich [ 1978b ] finds support ... hypothesis , correctly analyzing the spot rate adjusted for relative ... hypothesis for later behavior in the markets . Despite extensive empirical work in the ...
Page 33
... random effects around the an- nouncement dates and no systematic lagged effects in the market ( i.e. , the markets are efficient in this sense ) . Both Logue and Sweeney [ 1977 ] ... random walk hypothesis for changes in exchange rates ( 33.
... random effects around the an- nouncement dates and no systematic lagged effects in the market ( i.e. , the markets are efficient in this sense ) . Both Logue and Sweeney [ 1977 ] ... random walk hypothesis for changes in exchange rates ( 33.
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