Efficiency Of Foreign Exchange Markets And Measures Of Turbulence
Download Efficiency Of Foreign Exchange Markets And Measures Of Turbulence full books in PDF, epub, and Kindle. Read online free Efficiency Of Foreign Exchange Markets And Measures Of Turbulence ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author | : Jacob A. Frenkel |
Publisher | : |
Total Pages | : 15 |
Release | : 1980 |
Genre | : Foreign exchange |
ISBN | : |
Since the move to generalized floating in1973, exchange rates between major currencies have displayed large fluctuations. This turbulence of foreign exchange rates is an important concern of government policy and its explanation is a challenge for theories of foreign exchange market behavior. In Section I of this paper, we document the extent of turbulence in foreign exchange markets by examining (i) the magnitude of short-run variations in exchange rates relative to other measures of economic variability; (ii) the degree of divergence between actual and expected changes in exchange rates; and (iii) the extent to which exchange-rate movements have diverged from movements of relative national price levels. In Section II, we provide a general explanation of this turbulence in terms of the modern "asset market theory" to exchange-rate determination. This theory emphasizes that exchange rates, like the prices of other assets determined in organized markets, are strongly influenced by the market's expectation of future events. In this context, we also discuss the narrower technical question of "foreign exchange market efficiency." Finally, in Section III, we address the question of whether turbulence in the foreign exchange markets has been "excessive" and what policy measures can (or should) be taken to reduce it
Author | : Craig Hakkio |
Publisher | : Routledge |
Total Pages | : 100 |
Release | : 2017-04-21 |
Genre | : Business & Economics |
ISBN | : 1351801686 |
Originally published in 1984. This book examines two important dimensions of efficiency in the foreign exchange market using econometric techniques. It responds to the macroeconomics trend to re-examining the theories of exchange rate determination following the erratic behaviour of exchange rates in the late 1970s. In particular the text looks at the relation between spot and forward exchange rates and the term structure of the forward premium, both of which require a joint test of market efficiency and the equilibrium model. Approaches used are the regression of spot rates on lagged forward rates and an explicit time series analysis of the spot and forward rates, using data from Canada, the United Kingdom, the Netherlands, Switzerland and Germany.
Author | : xxx Hodrick |
Publisher | : CRC Press |
Total Pages | : 198 |
Release | : 1987-08-25 |
Genre | : Mathematics |
ISBN | : 9783718604159 |
First published in 1987. Routledge is an imprint of Taylor & Francis, an informa company.
Author | : Debra Glassman |
Publisher | : |
Total Pages | : 39 |
Release | : 1982 |
Genre | : Foreign exchange futures |
ISBN | : |
Author | : Rita Biswas |
Publisher | : |
Total Pages | : |
Release | : 1998 |
Genre | : |
ISBN | : |
This study examines the behavior of the forward market for foreign exchange for the British pound and the Japanese yen during the turbulent Gulf War period of 1990. The bivariate Engle-Granger technique in conjunction with a time-related dummy variable is used. The study supports market efficiency for both exchange rates, only after five weeks around the invasion week are excluded. Finally, an endogeneously determined structural break is found around the invasion week of the War.
Author | : Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico |
Publisher | : |
Total Pages | : 0 |
Release | : 2013 |
Genre | : Banks and banking, Central |
ISBN | : 9789291319626 |
Author | : Robert J. Hodrick |
Publisher | : |
Total Pages | : 0 |
Release | : 2018 |
Genre | : MATHEMATICS |
ISBN | : 9781003420385 |
This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
Author | : Kathryn Dominguez |
Publisher | : |
Total Pages | : 0 |
Release | : 2016-05-13 |
Genre | : Foreign exchange market |
ISBN | : 9781138838789 |
This book, first published in 1992, examines the subject of foreign exchange market efficiency and, in particular, the effectiveness of central bank intervention in the market. This book is ideal for students of economics.
Author | : Paul Joseph Alapat |
Publisher | : |
Total Pages | : 222 |
Release | : 1994 |
Genre | : Foreign exchange |
ISBN | : |
Author | : Thomas Oberlechner |
Publisher | : John Wiley & Sons |
Total Pages | : 278 |
Release | : 2005-07-08 |
Genre | : Business & Economics |
ISBN | : 0470012013 |
This book demystifies the foreign exchange market by focusing on the people who comprise it. Drawing on the expertise of the very professionals whose decisions help shape the market, Thomas Oberlechner describes the highly interdependent relationship between financial decision makers and news providers, showing that the assumption that the foreign exchange market is purely economic and rational has to be replaced by a more complex market psychology.