Expectations and the Foreign Exchange Market
eBook - ePub

Expectations and the Foreign Exchange Market

  1. 108 pages
  2. English
  3. ePUB (mobile friendly)
  4. Available on iOS & Android
eBook - ePub

Expectations and the Foreign Exchange Market

About this book

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.

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Yes, you can access Expectations and the Foreign Exchange Market by Craig Hakkio in PDF and/or ePUB format, as well as other popular books in Business & Business General. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Taylor & Francis
Year
2017
Print ISBN
9781138633223
eBook ISBN
9781351801683
Edition
1
Topic
Business
Subtopic
Business General
Index
Business

TABLE OF CONTENTS

LIST OF TABLES

  1. 1. Growth Rates Of Selected Economic Time Series
  2. 2. Simple Measures Of Exchange Rate Volatility
  3. 3. Autocorrelations of lnSt (April 1973-May 1977)
  4. 4. Autocorrelations of lnFt (April 1973-May 1977)
  5. 5. Autocorrelations of lnSt -lnFt-4 (April 1973- May 1977)
  6. 6. lnSt+4 = a + blnFt + ut+4 ut ~ MA (4)
  7. 7. lnSt+4 = a+ 1.0 lnFt + ut+4 ut ~ MA(4)
  8. 8. Autocorrelation Function for e t+4 lnSt+4 = a + blnFt + ufc+4 ut+4 = 0 (L) et+4 (April 1973-May 1977)
  9. 9. 1nst+4 =a+ b1nFt + ut+4 ut~MA(5)
  10. 10. Hypothesis Testing Results
  11. 11. lnSt+4 = a + 1.0 lnSt + ut+4 ut ~ MA(3)
  12. 12. 1nSt+4 = a + b1nFt + ut+4 ut ~ MA (4) (April 1973- April 1975)
  13. 13. lnSt+4 = a+ b1nFt + ut+4 ut~MA(4) (May 1975- May 1977)
  14. 14. Netherlands: Estimates of Bivariate Autoregression Unrestricted and Restricted
  15. 15. Germany: Estimates of Bivariate Autoregression Unrestricted and Restricted
  16. 16. Canada: Estimates Of Bivariate Autoregression Unrestrictred And Restricted
  17. 17. Switzerland : Estimates Of Bivariate Autoregression Unrestricted And Restricted
  18. 18. United Kingdom: Estimates of Bivariate Autoregression Unrestricted and Restricted
  19. 19. Germany: Estimates of Bivariate Autoregression Unrestricted and Restricted
  20. 20. Canada: Estimates of Bivariate Autoregression Unrestricted and Restricted
  21. 21. Variance-Covariance Matrix of Canadian Estimates of (α, β)
  22. 22. Canada: Estimates of Bivariate Autoregression Unrestricted and Restricted, First Period
  23. 23. Canada: Estimates of Bivariate Autoregression Unrestricted and Restricted, Second Period
  24. 24. OLS Estimation Using Nonoverlapping Data, lnSt+4 = a + b1nFt + ut+4 (April 1973- May 1977)

ACKNOWLEDGMENTS

I would like to thank the members of my dissertation co...

Table of contents

  1. Cover
  2. Halftitle
  3. Title
  4. Copyright
  5. Table of Contents