Expectations and the Foreign Exchange Market

1. Auflage 2017
ISBN: 978-1-138-63322-3
Verlag: CRC Press

Buch, Englisch, 116 Seiten, Format (B × H): 156 mm x 234 mm, Gewicht: 453 g

Reihe: Routledge Library Editions: Exchange Rate Economics

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.

Autoren/Hrsg.

Hakkio, Craig

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein

Inhaltsverzeichnis

1. Introduction 2. Foreign Exchange Market Efficiency 3. The Term Structure of the Forward Premium 4. Conclusions. Appendices

Über Autor(innen)

Craig Hakkio