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Expectations and the Foreign Exchange Market

Craig Hakkio
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Chapter III
Cross Equation Restrictions
currency risk analysis
Current Forward Rate
econometric methods
economic policy
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Forecast Errors
Foreign Exchange Market
Foreign Exchange Market Efficiency
Forward Exchange Rate
Forward Premium
forward premium efficiency studies
Forward Rate
Future Spot Rate
global economics
global economy
Ing Ai
International Economy
international finance
international finance research
International Industry
Likelihood Ratio Statistic
macroeconomic modelling
Marginal Significance Level
Maximum Likelihood
OLS Estimate
OLS Residual
regression analysis exchange rates
Risk Premium
Sargent 1978a
Serial Correlation Properties
Spot Exchange Rate
Spot Rate
Thomas Sargent
Time Series
time series forecasting
Unbiased Forecast
Unrestricted Estimates
World Economy

Product details

  • ISBN 9781138633230
  • Weight: 210g
  • Dimensions: 156 x 234mm
  • Publication Date: 29 Aug 2018
  • Publisher: Taylor & Francis Ltd
  • Publication City/Country: GB
  • Product Form: Paperback
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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.

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