The Foreign Exchange Market: Theory and Econometric Evidence.

David Kenneth Miles · Richard T. Baillie · Patrick C. McMahon

197 citations0/0 files storedEconomica

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Global Financial Crisis and Policies

Abstract

1. Historical development and institutions 2. The theory of efficient markets 3. Models of exchange rate behaviour 4. Econometric methodology 5. Expectation models 6. Statistical properties of exchange rate series 7. The forward rate as a predictor of the future spot rate 8. Purchasing power and interest rate parity theories: empirical evidence 9. Exchange rate forecasting and conclusions.

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1995Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets 2002Market efficiency in agricultural futures markets 1996Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark 1994Stylized Facts of Nominal Exchange Rate Returns 1999Does exchange rate volatility deter international trade in developing countries?1993Currency Hedging over Long Horizons 2002Democratic Processes, Political Risk, and Foreign Exchange Markets 2015Exchange rates and commodity prices: Measuring causality at multiple horizons

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