Expectations and the Foreign Exchange Market (英语)Craig S. Hakkio (作者)
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.
1. The Exchange Rate Environment Simon Brooks, Keith Cuthbertson, David G. Mayes
2. The Forward Market in Foreign Exchange: A Study in Market-making, Arbitrage and Speculation Brendan Brown
3. Impact of Price Uncertainty: Study of Brazilian Exchange Rate Policy D. V. Coes
4. The Interest Standard of Currency: An Attempt Ernst Dick
5. The Effects of Real Exchange Rate Volatility on Sectoral Investment: Empirical Evidence from Fixed and Flexible Exchange Rate Systems Bahar Erdal
6. Seasonal Movements of Exchange Rates and Interest Rates Under the Pre-World War I Gold Standard Ellen L. Foster
7. Expectations and the Foreign Exchange Market Craig S. Hakkio
8. Essays on Rational Expectations and Flexible Exchange Rates Nasser Amin Hassan Saidi
9. Exchange Rates and Prices: The Case of United States Imports William R. Smith Jr.
10. Foreign Exchange and Foreign Debts Hubert Conrad Walter
11. Modern Foreign Exchange Hubert Conrad Walter
12. Foreign Exchange Rudi Weisweiller
