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Expectations and the Foreign Exchange Market

Craig S. Hakkio (Federal Reserve Bank of Kansas City, USA)



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29 August 2018
Econometrics; International finance; Political economy; Public finance accounting
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.
By:   Craig S. Hakkio (Federal Reserve Bank of Kansas City USA)
Imprint:   Routledge
Country of Publication:   United Kingdom
Dimensions:   Height: 234mm,  Width: 156mm, 
Weight:   209g
ISBN:   9781138633230
ISBN 10:   1138633232
Series:   Routledge Library Editions: Exchange Rate Economics
Pages:   108
Publication Date:   29 August 2018
Audience:   College/higher education ,  Further / Higher Education
Format:   Paperback
Publisher's Status:   Active
1. Introduction 2. Foreign Exchange Market Efficiency 3. The Term Structure of the Forward Premium 4. Conclusions. Appendices

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