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
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Page 8
... theoretical and operational literature over whether or not interest parity can be achieved merely through price setting by dealers without the need for capital flows ( Goldstein [ 1965b ] , Pippenger [ 1972 ] , and Roll and Solnik ...
... theoretical and operational literature over whether or not interest parity can be achieved merely through price setting by dealers without the need for capital flows ( Goldstein [ 1965b ] , Pippenger [ 1972 ] , and Roll and Solnik ...
Page 36
... theoretical and empirical impasse that had been reached up to that time . He specifies four criteria for identifying periods of destabiliz- ing speculation : the size of the covered margin indicator , the relationship between changes in ...
... theoretical and empirical impasse that had been reached up to that time . He specifies four criteria for identifying periods of destabiliz- ing speculation : the size of the covered margin indicator , the relationship between changes in ...
Page 37
... theoretical papers indicating that this was their criteria for the existence of destabilizing speculation . A number of papers have pre- sented casual empirical evidence of volatility ( or no volatility ) in foreign exchange markets as ...
... theoretical papers indicating that this was their criteria for the existence of destabilizing speculation . A number of papers have pre- sented casual empirical evidence of volatility ( or no volatility ) in foreign exchange markets as ...
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