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 27
... flexible periods as a whole ( 1952–1970 ) the forward rate was an unbiased predictor of future spot rates . He goes on to show that during some short - run periods , 15 due to ... rates ( 1967-1969 ) to an unstable floating rate period 27.
... flexible periods as a whole ( 1952–1970 ) the forward rate was an unbiased predictor of future spot rates . He goes on to show that during some short - run periods , 15 due to ... rates ( 1967-1969 ) to an unstable floating rate period 27.
Page 28
... fixed versus flexible rates per se ) . In addition , Aliber presents no tests of significance between the two periods . He does , however , show that the forward rate has in general been a somewhat better predictor of the subsequent spot ...
... fixed versus flexible rates per se ) . In addition , Aliber presents no tests of significance between the two periods . He does , however , show that the forward rate has in general been a somewhat better predictor of the subsequent spot ...
Page 42
... rate time series to be more volatile than it would have been in the absence of speculation ) . He shows that each of ... flexible exchange rates ? ) may well be irrelevant . In fact , the question of whether to have a fixed or flexible ...
... rate time series to be more volatile than it would have been in the absence of speculation ) . He shows that each of ... flexible exchange rates ? ) may well be irrelevant . In fact , the question of whether to have a fixed or flexible ...
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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