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 7
... simultaneity bias ( in fact , they cannot eliminate this bias since they use weekly data , and no exogenous instruments are available in a weekly time series ) . Whereas Stein [ 1965a ] finds no significant lagged response of ...
... simultaneity bias ( in fact , they cannot eliminate this bias since they use weekly data , and no exogenous instruments are available in a weekly time series ) . Whereas Stein [ 1965a ] finds no significant lagged response of ...
Page 14
... simultaneity bias introduced by the endogenous explanatory variables and does not include an underlying model of short - term capital flows . The initial empirical estimates of the MT rested on the use of such distributed lag functions ...
... simultaneity bias introduced by the endogenous explanatory variables and does not include an underlying model of short - term capital flows . The initial empirical estimates of the MT rested on the use of such distributed lag functions ...
Page 26
... bias as a result of a liquidity premium . He tests for both types of bias , finding no evidence for either a risk ... simultaneity bias in his estimates and must rely on transac- tion costs to conclude an unbiased rate . On the other ...
... bias as a result of a liquidity premium . He tests for both types of bias , finding no evidence for either a risk ... simultaneity bias in his estimates and must rely on transac- tion costs to conclude an unbiased rate . On the other ...
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