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Expectations and the Foreign Exchange Market: Routledge Library Editions: Exchange Rate Economics

Autor Craig Hakkio
en Limba Engleză Hardback – 13 apr 2017
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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Specificații

ISBN-13: 9781138633223
ISBN-10: 1138633224
Pagini: 116
Dimensiuni: 156 x 234 x 14 mm
Greutate: 0.45 kg
Ediția:1
Editura: Taylor & Francis
Colecția Routledge
Seria Routledge Library Editions: Exchange Rate Economics

Locul publicării:Oxford, United Kingdom

Public țintă

Postgraduate

Cuprins

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

Descriere

Originally published in 1984. This book examines two important dimensions of efficiency in the foreign exchange market using econometric techniques.