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Expectations and the Foreign Exchange Market (Hardcover)
Loot Price: R2,158
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Expectations and the Foreign Exchange Market (Hardcover)
Series: Routledge Library Editions: Exchange Rate Economics
Expected to ship within 12 - 17 working days
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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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