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A DYNAMIC ANALYSIS OF THE SPOT AND FORWARD
A REVIEW OF SOME RECENT EMPIRICAL STUDIES
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banking claims banking liabilities behavior Bell and Kenen Branson capital and currency capital movements ceteris paribus Chapter claims on foreigners coefficient-estimates correlation covered differential covered interest arbitrage covered interest rate currency exchange rates D-bk Data Transformation decrease distributed lag dollar Durbin-Watson statistic estimating equations exchange rate expectations exogenous variables expected spot exchange expected spot price exports favoring the UK foreign exchange markets forward exchange premium forward exchange rates forward market speculation forward pounds forward premium forward price forward rate imports increase interest arbitrageurs interest rate differential international short-term capital Laffer lag coefficients lag distribution lag index lagged values liabilities to foreigners long-run derivative monetary authorities partial derivatives period positive reduced form reduced-form capital functions regression analysis residuals short-term claims spot and forward spot exchange rate spot pounds spot rate Standard Error Stein's structural and reduced-form structural functions subsample tends trade finance trend regressors UK minus uncovered interest rate