publication . Preprint . Report . 1983

Empirical Studies of Exchange Rates: Price Behavior, Rate Determinationand Market Efficiency

Richard Levich;
Open Access
  • Published: 01 Apr 1983
Abstract
Theoretical and empirical research completed over the last decade has dramatically increased our understanding of exchange rate behavior. The major insight to come from this decade of research is that foreign exchange is a financial asset. In an asset pricing framework, current exchange rates reflect the expected values of future exogenous variables. The purpose of this paper is to survay the empirical evidence on exchange rate behavior, market efficiency and related topics. Section 2 presents a stylized history of exchange rate behavior during 1970's. Alternative measures of volatility and transaction costs are reviewed. Tests of specific exchange rate determin...
Subjects
free text keywords: Financial asset, Exchange rate, Capital asset pricing model, Interest rate parity, Economics, Risk premium, Empirical research, Monetary economics, Stylized fact, Foreign exchange market
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publication . Preprint . Report . 1983

Empirical Studies of Exchange Rates: Price Behavior, Rate Determinationand Market Efficiency

Richard Levich;