Download or read book Testing the Market Efficiency of the Forward Exchange Rate written by Andrew Burns and published by . This book was released on 1987 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Expectations and the Foreign Exchange Market written by Craig Hakkio and published by Routledge. This book was released on 2017-04-21 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Long Run and Short Run Test for Market Efficiency written by Dimitris Kenourgios and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study tests the market efficiency hypothesis through the cointegration methodology using forward rates and spot exchange rates of different maturities for the British Pound, the Japanese Yen, and the German Mark exchange market against the USA Dollar. Results indicate that the foreign exchange market is efficient in the long run but we reject the Forward Rate Unbiasedness Hypothesis in the short run, and as a result the spot rate is not an unbiased forecast of the forward rate. These results have significant implications for the government policy makers and these currencies' foreign exchange markets.

Download or read book Expectations and the Forward Exchange Rate written by Craig S. Hakkio and published by . This book was released on 1980 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an empirical examination of the hypothesis that the forward exchange rate provides an "optimal" forecast of the future spot ex-change rate, for five currencies relative to the dollar. This hypothesis provides a convenient norm for examining the erratic behavior of exchange rates; this erratic behavior represents an efficient market that is quickly incorporating new information into the current exchange rate. This hypothesis is analyzed using two distinct, but related, approaches. The first approach is based on a regression of spot rates on lagged forward rates. When using weekly data and a one month forward exchange rate, ordinary least squares regression analysis of market efficiency is incorrect. Econometric methods are proposed which allow for consistent (though not fully efficient) estimation of the parameters and their standard errors. This paper also presents a new approach for testing exchange market efficiency. This approach is based on a general time series process generating the spot and forward exchange rate. The hypothesis of efficiency implies a set of cross-equation restrictions imposed on the parameters of the time series model. This paper derives these restrictions, proposes a maximum likelihood method of estimating the constrained likelihood function, estimates the model and tests the validity of the restrictions with a likelihood ration statistic

Download or read book The Foreign Exchange Market written by Richard T. Baillie and published by Cambridge University Press. This book was released on 1989 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Exchange Rate Economics Foreign exchange market efficiency written by Ronald MacDonald and published by . This book was released on 1992 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On the Efficiency of Forward Foreign Exchange Market written by Bagher Modjtahedi and published by . This book was released on 1984 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by Robert J. Hodrick and published by CRC Press. This book was released on 2023-08-18 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets written by R. Hodrick and published by Routledge. This book was released on 2014-05-01 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Hodrick provides a foundation for developing quantitive measures of risk and expected return in international finance.

Download or read book Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920 s written by P. C. B. Phillips and published by . This book was released on 1994 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Market Efficiency and Forward Premia Term Structure in the Euro Foreign Exchange Market written by Marco Giammatteo and published by . This book was released on 2004 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the Euro foreign exchange market to test whether it could be considered efficient. In a second step, going beyond the implications of the expectations theory, we focus our attention on the cross-currency and cross-maturity term structures of the forward premia to asses whether, jointly, they have incremental information content in predicting future spot exchange rate changes compared to the term structure of the forward premia of that specific spot rate. Using daily exchange rates of the US Dollar, Canadian Dollar, British Pound and Japanese Yen against the Euro, we are forced to reject the Forward Rate Unbiasedness Hypothesis both in bivariate and multivariate systems. Moreover, we verify that the information embedded in the above mentioned term structures produces an increase in the goodness of fit of the future spot rate changes. Finally, similarly to the term structure of the interest rate case, in which is pointed out the presence of a short run rate factor, we show that the term structure of the forward exchange rate has a different long run behaviour according to the maturity of the various rates.

Download or read book Efficiency in the Peseta Forward Exchange Rate Market written by Juan Ayuso and published by . This book was released on 1992 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Economics written by Mr.Mark P. Taylor and published by International Monetary Fund. This book was released on 1991-06-01 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Efficiency in the Foreign exchange market concepts and methodological improvements for weak form tests Working Paper No 166 written by John S. Stevenson and published by . This book was released on 1977 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Non parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency written by Mike Wickens and published by . This book was released on 1989 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Empirical Analysis of Foreign Exchange Rates Under Efficient Market Hypothesis written by Akihiro Miyamoto and published by . This book was released on 1985 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Working Paper written by and published by . This book was released on 1979 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: