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 Hakkio Imprint: Routledge Country of Publication: United Kingdom Volume: 7 Dimensions:
Height: 234mm,
Width: 156mm,
Weight: 453g ISBN:9781138633223 ISBN 10: 1138633224 Series:Routledge Library Editions: Exchange Rate Economics Pages: 116 Publication Date:13 April 2017 Audience:
College/higher education
,
Primary
Format:Hardback Publisher's Status: Active
1. Introduction 2. Foreign Exchange Market Efficiency 3. The Term Structure of the Forward Premium 4. Conclusions. Appendices