A DYMIMIC MODEL OF FORWARD FOREIGN-EXCHANGE RISK, WITH ESTIMATES FOR 3 MAJOR EXCHANGE-RATES

被引：12

作者：

TAYLOR, MP ^{[1
]}

机构：

[1] CTR ECON POLICY RES,LONDON,ENGLAND

来源：

MANCHESTER SCHOOL OF ECONOMIC AND SOCIAL STUDIES | 1988年 / 56卷 / 01期

关键词：

D O I：

10.1111/j.1467-9957.1988.tb01318.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

页码：55 / 68

页数：14

共 50 条

[1] FOREIGN-EXCHANGE OPTION PRICES AS PREDICTORS OF EQUILIBRIUM FORWARD EXCHANGE-RATES
TUCKER, AL
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1987, 6 (03) : 283 - 294
[2] FORWARD EXCHANGE-RATES AS PREDICTORS OF FUTURE SPOT RATES AND THE EFFICIENCY OF THE FOREIGN-EXCHANGE MARKET
PAPADIA, F
[J]. JOURNAL OF BANKING & FINANCE, 1981, 5 (02) : 217 - 240
[3] FORWARD FOREIGN-EXCHANGE RATES AND RISK PREMIA - A REAPPRAISAL
POPE, PF
PEEL, DA
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1991, 10 (03) : 443 - 456
[4] FOREIGN-EXCHANGE FUTURES PRICES UNDER FIXED EXCHANGE-RATES
LIZONDO, JS
[J]. JOURNAL OF INTERNATIONAL ECONOMICS, 1983, 14 (1-2) : 69 - 84
[5] EFFICIENCY OF MARKET FOR FOREIGN-EXCHANGE UNDER FLOATING EXCHANGE-RATES
CORNELL, WB
DIETRICH, JK
[J]. REVIEW OF ECONOMICS AND STATISTICS, 1978, 60 (01) : 111 - 120
[6] EFFICIENCY OF MARKET FOR FOREIGN-EXCHANGE UNDER FLOATING EXCHANGE-RATES
CORNELL, WB
DIETRICH, JK
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1976, 11 (04) : 641 - 641
[7] BLACK MARKETS FOR FOREIGN-EXCHANGE, REAL EXCHANGE-RATES AND INFLATION
PINTO, B
[J]. JOURNAL OF INTERNATIONAL ECONOMICS, 1991, 30 (1-2) : 121 - 135
[8] FOREIGN-EXCHANGE MARKET EFFICIENCY UNDER FLEXIBLE EXCHANGE-RATES
BURT, J
KAEN, FR
BOOTH, GG
[J]. JOURNAL OF FINANCE, 1977, 32 (04): : 1325 - 1330
[9] THE FOREIGN-EXCHANGE MARKET AND EXCHANGE-RATES - GERMAN - GAAB,W
KLEIN, M
[J]. ZEITSCHRIFT FUR NATIONALOKONOMIE-JOURNAL OF ECONOMICS, 1985, 45 (01): : 96 - 98
[10] TRANSACTIONS COSTS, FOREIGN-EXCHANGE DEMANDS, AND THE EXPECTED RATES OF CHANGE OF EXCHANGE-RATES
SAURMAN, DS
[J]. JOURNAL OF MONEY CREDIT AND BANKING, 1982, 14 (01) : 20 - 32

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