Download or read book The Unbiased Expectations Hypothesis in the Forward Foreign Exchange Market written by Young-Taek Oh and published by . This book was released on 1990 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Parity Conditions written by Razzaque H. Bhatti and published by Springer. This book was released on 2016-07-27 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an extensive survey of the theory and empirics of international parity conditions which are critical to our understanding of the linkages between world markets and the movement of interest and exchange rates across countries. The book falls into three parts dealing with the theory, methods of econometric testing and existing empirical evidence. Although it is intended to provide a consensus view on the subject, the authors also make some controversial propositions, particularly on the purchasing power parity conditions.

Download or read book Expectations written by K. Holden and published by . This book was released on 1985 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing for Rational Expectations in Foreign Exchange Markets written by Ralph Tryon and published by . This book was released on 1979 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Exchange Rate Forecasting Techniques and Applications written by I. Moosa and published by Springer. This book was released on 2016-02-05 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting exchange rates is a variable that preoccupies economists, businesses and governments, being more critical to more people than any other variable. In Exchange Rate Forecasting the author sets out to provide a concise survey of the techniques of forecasting - bringing together the various forecasting methods and applying them to the exchange rate in a highly accessible and readable manner. Highly practical in approach, the book provides an understanding of the techniques of forecasting with an emphasis on its applications and use in business decision-making, such as hedging, speculation, investment, financing and capital budgeting. In addition, the author also considers recent developments in the field, notably neural networks and chaos, again, with easy-to-understand explanations of these "rocket science" areas. The practical approach to forecasting is also reflected in the number of examples that pepper the text, whilst descriptions of some of the software packages that are used in practice to generate forecasts are also provided.

Download or read book Expectations Hypothesis of Forward Exchange written by Blaine L. Schmid and published by . This book was released on 1984 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Some Tests of the Rational Expectations Hypothesis in the Foreign Exchange Market written by R. MacDonald and published by . This book was released on 1982 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Rational Expectations Risk Premia and the Market for Spot and Forward Exchange written by Richard Meese and published by . This book was released on 1980 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing the Unbiasedness Hypothesis in the Forward Foreign Exchange Market a Specification Analysis written by Allan W. (Allan Walter) Gregory and published by London : Department of Economics, University of Western Ontario. This book was released on 1984 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Role of Expectations in the Foreign Exchange Market written by Karen Elizabeth Parker and published by . This book was released on 1991 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On Biases in the Measurement of Foreign Exchange Risk Premiums written by Geert Bekaert and published by . This book was released on 1991 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: The hypothesis that the forward rate is an unbiased predictor of the future spot rate has been consistently rejected in recent empirical studies. This paper examines several sources of measurement error and misspecification that might induce biases in such studies. Although previous inferences are shown to be robust to a failure to construct true returns and to omitted variable bias arising from conditional heteroskedasticity in spot rates, we show that the parameters were not stable over the 1975-1989 sample period. Estimation that allows for endogenous regime shifts in the parameters demonstrates that deviations from unbiasedness were more severe in the 1980's.

Download or read book The Risk Premium Exchange Rate Expectations and the Forward Exchange Rate written by Stuart Landon and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The hypothesis that the forward rate is an unbiased predictor of the future spot rate has been rejected in many empirical studies. The rejection of this hypothesis could occur because market behavior is inconsistent with rational-expectations or because there exists a risk premium. Equations describing the forward premium and the change in the exchange rate are estimated jointly, and tests of both the rational-expectations and no-risk-premium hypotheses are conducted. Empirical estimates, obtained using quarterly data for the yen-dollar exchange rate, reject the rational-expectations hypothesis and suggest that there exists a time-varying risk premium.

Download or read book Further Evidence On Expectations And The Demand for Money During the German Hyperinflation written by Jacob A. Frenkel and published by . This book was released on 1980 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Probably no event in monetary history has been more studied than the German hyperinflation of the early 1920's. Economists have been attracted to study this episode since it provides an environment that is close to a controlled experiment which is so rare in the study of social sciences. This paper provides further evidence on the role of expectations in effecting the demand for money during the German hyperinflation. One of the difficulties in studying empirically the role of expectations is the lack of an observable variable measuring expectations. This paper examines three measures of expectations that are derived from observed data from the market for foreign exchange. The first measure is based on the hypothesis that the forward exchange rate measures the expected future spot exchange rate and thereby provides an observable measure of the market's expectations concerning the depreciation of the currency. The other two measures distinguish between the forward exchange rate and the expected exchange rate and are based on the supplementary hypothesis that rational behavior requires expectations to be unbiased. Accordingly, the measures of expectations are constructed by using the forward exchange rate along with the information on the systematic relationship between forward and spot exchange rates. The various measures are then used in estimating the demand for money. The emphasis on measures of expectations that are based on data from the foreign exchange markets reflects the belief that in an inflationary economy with flexible exchange rates one of the relevant substitutes for holding domestic money is foreign exchange

Download or read book The Modern Theory of Forward Foreign Exchange written by Thomas C. Glaessner and published by . This book was released on 1982 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Economics of Exchange Rates Collected Works of Harry Johnson written by Jacob A. Frenkel and published by Routledge. This book was released on 2013-07-18 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: The studies in this book deal with the determination of foreign exchange rates and the characteristics of the foreign exchange market. Analysis is made of flexible exchange rates through an approach developed by the authors, called the ‘asset-market approach’. Theory is combined with practical application in a clear concise way that will be understood by readers with a basic understanding of economics.

Download or read book The Speculative Efficiency Hypothesis written by John F. O. Bilson and published by . This book was released on 2008 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The hypothesis that forward prices are the best unbiased forecast of future spot prices is often presented in the economic and financial analysis of futures markets. This paper considers the hypothesis independently of its implications for rational expectations or market efficiency and in order to stress this fact, the term quot;speculative efficiencyquot; is used to characterize the state envisaged under the hypothesis. If a market is subject to efficient speculation, the supply of speculative funds is infinitely elastic at the forward price that is equal to the expected future spot price. The expected future spot price is a market price determined as the solution to the underlying rational expectations macroeconomic model. Although the paper is primarily concerned with testing this hypothesis in the foreign exchange market, the methodology introduced in the paper is of general application to all futures markets.