Testing Rational Expectations and Efficiency in the Foreign Exchange Market PDF Download
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Author: Richard T. Baillie
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 10
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Book Description
Author: Richard T. Baillie
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 10
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Book Description
Author: Richard T. Baillie
Publisher:
ISBN: 9780868310695
Category : Foreign exchange
Languages : en
Pages : 24
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Book Description
Author: Craig S. Hakkio
Publisher: Routledge
ISBN: 1351801686
Category : Business & Economics
Languages : en
Pages : 108
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Book Description
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: R. Hodrick
Publisher: Routledge
ISBN: 1136455280
Category : Business & Economics
Languages : en
Pages : 161
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Book Description
Robert Hodrick provides a foundation for developing quantitive measures of risk and expected return in international finance.
Author: Richard T. Baillie
Publisher: Cambridge University Press
ISBN: 9780521396905
Category : Business & Economics
Languages : en
Pages : 280
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Book Description
The flotation of exchange rates in the early 1970s saw a significant increase in the importance of foreign exchange markets and in the interest shown in them. Apart from the consequent institutional changes, this period also witnessed a revolution in macroeconomic analysis and finance theory based on the concept of rational expectations. This book provides an integrated approach to recent developments in the understanding of foreign exchange markets. It begins by charting the institutional background and looks at the recent history of movements in some of the major exchange rates. The theoretical sections focus on the economic and finance theory of the asset market approach, the macroeconomic models developed from this approach, and on interest rate parity theory. The empirical chapters draw on the authors' own research from a high quality set of exchange rate and interest rate data. The statistical properties of exchange rates are analysed; the relationship between spot and forward rates is examined; and the modelling and impact of new information on the forward and spot relationship is considered. The final chapter is devoted to the estimation and testing of exchange rate models.
Author: Robert J. Hodrick
Publisher: CRC Press
ISBN: 1000943380
Category : Mathematics
Languages : en
Pages : 190
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Book Description
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: Mr.Mark P. Taylor
Publisher: International Monetary Fund
ISBN: 1451964390
Category : Business & Economics
Languages : en
Pages : 61
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Book Description
We survey the literature on the two main views of exchange rate determination that have evolved since the early 1970s: the monetary approach to the exchange rate (in flex-price, sticky-price and real interest differential formulations) and the portfolio balance approach. We then go on to discuss the extant empirical evidence on these models and conclude by discussing how the future research strategy in the area of exchange rate determination is likely to develop. We also discuss the literature on foreign exchange market efficiency, on exchange rates and ‘news’ and on international parity conditions.
Author: Robert Schmidt
Publisher: Peter Lang Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 362
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Book Description
This book deals with psychological factors, which may be important for understanding the observable exchange rate movements. Thus, the study belongs to the new research field of behavioral economics, which considers the relevance of psychological factors in economic contexts. The main objective of behavioral economists is to develop a more realistic view of the actual human behavior in the context of economics. Central to the concept of behavioral economics is the assumption that humans' actual behavior deviates from the ideal of economic rationality due to at least two reasons: first, decisions are usually based on an incomplete information basis and, second, the information processing of human beings is limited by their computational capacities. Due to these limitations people are forced to apply simple heuristics in information processing. Our aim is to analyze the relevance of simple heuristics in the context of foreign exchange markets. In our view, the decision situation in foreign exchange markets can serve as a prime example for decision situations in which simple heuristics are especially relevant as the complexity of the decision situation is very high.
Author: Frederic S. Mishkin
Publisher: University of Chicago Press
ISBN: 9780226531878
Category : Business & Economics
Languages : en
Pages : 184
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Book Description
A Rational Expectations Approach to Macroeconometrics pursues a rational expectations approach to the estimation of a class of models widely discussed in the macroeconomics and finance literature: those which emphasize the effects from unanticipated, rather than anticipated, movements in variables. In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program.
Author: Barry Goss
Publisher: Routledge
ISBN: 1134975201
Category : Business & Economics
Languages : en
Pages : 240
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Book Description
Do traders in futures markets make use of all relevant information and is this reflected in prices? This collection of original essays by a team of international economists considers these and other questions central to futures markets.
