Expectations and the Foreign Exchange Market

Business & Finance
Cover of the book Expectations and the Foreign Exchange Market by Craig S. Hakkio, Taylor and Francis
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Author: Craig S. Hakkio ISBN: 9781351801683
Publisher: Taylor and Francis Publication: April 21, 2017
Imprint: Routledge Language: English
Author: Craig S. Hakkio
ISBN: 9781351801683
Publisher: Taylor and Francis
Publication: April 21, 2017
Imprint: Routledge
Language: English

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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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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