The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets PDF Download
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Author: R. Hodrick
Publisher: Routledge
ISBN: 1136455213
Category : Business & Economics
Languages : en
Pages : 185
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Book Description
First Published in 2001. Routledge is an imprint of Taylor & Francis, an informa company.
Author: R. Hodrick
Publisher: Routledge
ISBN: 1136455213
Category : Business & Economics
Languages : en
Pages : 185
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Book Description
First Published in 2001. Routledge is an imprint of Taylor & Francis, an informa company.
Author: Robert J. Hodrick
Publisher: CRC Press
ISBN: 1000943380
Category : Mathematics
Languages : en
Pages : 190
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Book Description
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.
Author: Jerome L. Stein
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 58
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Book Description
Author: Kathryn Dominguez
Publisher: Routledge
ISBN: 1317559134
Category : Business & Economics
Languages : en
Pages : 146
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Book Description
This book, first published in 1992, examines the subject of foreign exchange market efficiency and, in particular, the effectiveness of central bank intervention in the market. This book is ideal for students of economics.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Richard T. Baillie
Publisher: Cambridge University Press
ISBN: 9780521396905
Category : Business & Economics
Languages : en
Pages : 280
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Book Description
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.
Author: Robert J. Hodrick
Publisher:
ISBN: 9781003420385
Category : MATHEMATICS
Languages : en
Pages : 0
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Book Description
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.
Author: Eastman Professor of Political Economy Jerome L Stein
Publisher:
ISBN: 9781258081898
Category :
Languages : en
Pages : 60
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Book Description
Author: Jessica James
Publisher: John Wiley & Sons
ISBN: 1118445775
Category : Business & Economics
Languages : en
Pages : 674
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Book Description
Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Author: Craig S. Hakkio
Publisher: Routledge
ISBN: 1351801686
Category : Business & Economics
Languages : en
Pages : 108
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Book Description
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.
