Expectations and the Foreign Exchange Market
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系列名:Routledge Library Editions: Exchange Rate Economic
ISBN13:9781138633230
出版社:PBKTYFRL
作者:Craig S. (Federal Reserve Bank of Kansas City Hakkio USA)
出版日:2018/08/29
裝訂/頁數:平裝/108頁
規格:23.3cm*15.6cm*1.4cm (高/寬/厚)
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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.
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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