Expectations and the foreign exchange market / Craig S. Hakkio.

Format:

Book

Author/Creator:

Hakkio, Craig S. (Craig Stephan), 1952- author.

Series:

Routledge Library Editions: Exchange Rate Economics ; Volume 7

Language:

English

Subjects (All):

Foreign exchange market--Mathematical models.

Foreign exchange market.

Physical Description:

1 online resource (102 pages) : illustrations, tables.

Place of Publication:

Abingdon, Oxon : Routledge, 2017.

Summary:

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.

Contents:

ch. 1. Introduction

ch. 2. Foreign exchange market efficiency

ch. 3. The term structure of the forward premium

ch. 4. Conclusions.

Notes:

First published in 1984 by Garland Publishing, Inc.

Includes bibliographical references.

Description based on print version record.

ISBN:

1-315-20778-8

1-351-80168-6

1-351-80169-4

9781315207780

OCLC:

985312172