Chapter 19 Empirical studies of exchange rates: Price behavior, rate determination and market efficiency

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

1964 • 15,720 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors…

1975 • 7,346 citations

Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk

1964 • 7,201 citations

The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

1965 • 7,112 citations

Equilibrium in a Capital Asset Market

1966 • 4,832 citations

Expectations and Exchange Rate Dynamics

1976 • 4,751 citations

Empirical exchange rate models of the seventies

1983 • 4,141 citations

Capital Market Equilibrium with Restricted Borrowing

1972 • 3,158 citations

A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory

1977 • 3,099 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

The Cost of Transacting

1968 • 1,909 citations

Essays in Positive Economics

1954 • 1,328 citations

Foundations of Finance.

1977 • 1,197 citations

On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials

1979 • 985 citations

A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence

1977 • 970 citations

The Only Game in Town

1971 • 899 citations

A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence

1976 • 810 citations

The effect of exchange rate uncertainty on the prices and volume of international trade

1978 • 669 citations

Purchasing power parity

1978 • 561 citations

Exchange Rate Theory and Practice

1984 • 506 citations

Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s

1981 • 488 citations

The collapse of purchasing power parities during the 1970's

1981 • 456 citations

The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?

1982 • 451 citations

Flexible Exchange Rates, Prices and the Role of ‘News’: Lessons from the 1970s

1982 • 446 citations

The "Speculative Efficiency" Hypothesis

1981 • 440 citations

Covered Interest Arbitrage: Unexploited Profits?

1975 • 435 citations

The effects of real exchange rate risk on international trade

1983 • 421 citations

Exchange Rate Economics: Where Do We Stand?

1980 • 403 citations

A Model of Exchange Rate Determination under Currency Substitution and Rational Expectations

1977 • 358 citations

The Exchange Rate, the Balance of Payments and Monetary and Fiscal Policy under a Regime of Controlled Floating

1976 • 353 citations

The Exchange Rate And The Balance of Payments In The Short Run and in The Long Run: A Monetary Approach

1977 • 345 citations

The Exchange Rate and the Balance of Payments in the Short Run and in the Long Run: A Monetary Approach

1976 • 336 citations

The Interest Rate Parity Theorem: A Reinterpretation

1973 • 329 citations

International Capital Flows and Portfolio Equilibrium

1974 • 326 citations

Capital Controls, Political Risk, and Deviations from Interest-Rate Parity

1980 • 316 citations

The ‘peso problem’ in testing the efficiency of forward exchange markets

1980 • 315 citations

Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods

1977 • 315 citations

In search of the exchange risk premium: A six-currency test assuming mean-variance optimization

1982 • 313 citations

The Monetary Approach to the Exchange Rate: Some Empirical Evidence (La theorie monetaire du taux de change: preuves empiriques) (El enfoque monetario del tipo de cambio: Algunas pruebas empiricas)

1978 • 294 citations

Exchange Rates and International Macroeconomics

1983 • 284 citations

Asset markets and relative prices in exchange rate determination

1980 • 275 citations

Theory and Implications of Currency Substitution

1981 • 253 citations

Currency Substitution, Flexible Exchange Rates, and Monetary Independence

1978 • 248 citations

An examination of foreign exchange risk under fixed and floating rate regimes

1977 • 240 citations

A System of International Comparisons of Gross Product and Purchasing Power

1976 • 235 citations

Exchange rates in the short run

1977 • 217 citations

Spot rates, forward rates and exchange market efficiency

1977 • 205 citations

A Note on Exchange‐Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis

1981 • 186 citations

Forward and Futures Prices: Evidence from the Foreign Exchange Markets

1981 • 176 citations

Tests of rational expectations and no risk premium in forward exchange markets

1984 • 158 citations

Exchange Rate Dynamics and the Overshooting Hypothesis (La dynamique des taux de change et l'hypothese du surajustement) (La dinamica de los tipos de cambio y la hipotesis del ajuste excesivo)

1982 • 155 citations

The Efficiency of Foreign Exchange Markets and Measures of Turbulence

1980 • 152 citations

The Random Behavior of Flexible Exchange Rates: Implications for Forecasting

1975 • 147 citations

Money in International Exchange.

1980 • 144 citations

The monetary approach to the exchange rate

1991 • 134 citations

Money, Bonds, and Foreign Exchange

2016 • 133 citations

Testing the Efficiency of the Canadian‐U.S. Exchange Market under the Assumption of no Risk Premium

1981 • 130 citations

The economics of exchange rates

1980 • 129 citations

The diversifiability of exchange risk

1979 • 123 citations

Price Dispersion in the Government Securities Market

1976 • 113 citations

Exchange-Rate Dynamics: An Empirical Investigation

1981 • 110 citations

One-Way Arbitrage and Its Implications for the Foreign Exchange Markets

1979 • 101 citations

Covered Interest Arbitrage: Unexploited Profits? Comment

1979 • 100 citations

Money, bonds and foreign exchange

1979 • 99 citations

Empirical Properties of Foreign Exchange Rates

1978 • 97 citations

Speculative Prices as Random Walks: An Analysis of Ten Time Series of Flexible Exchange Rates

1967 • 94 citations

Analysis of Short-Run Exchange Rate Behavior March, 1973 to September, 1975

1976 • 89 citations

Expectations and the Forward Exchange Rate

1981 • 88 citations

The Covered-Arbitrage Schedule: A Critical Survey of Recent Developments

1970 • 86 citations

The international money market

1978 • 79 citations

Taxation and "Abnormal" International Capital Flows

1977 • 74 citations

Exchange Rate Dynamics and the Overshooting Hypothesis

1982 • 74 citations

Development in an inflationary world

1981 • 72 citations

Currency Option Bonds, Puts and Calls on Spot Exchange and the Hedging of Contingent Foreign Earnings

1979 • 72 citations

Testing for Rational Expectations in Foreign Exchange Markets

1979 • 69 citations

The International Money Market

1978 • 68 citations

The Effect of Exchange Rate Changes on the Prices and Volume of Foreign Trade (L'effet des modifications du taux de change sur les prix et le volume du commerce exterieur) (El efecto de las variaciiones del tipo de cambio sobre los precios y el volumen del comercio exterior)

1977 • 61 citations

Financial Capital Flows in the U. S. Balance of Payments.

1972 • 60 citations

Speculative behavior of foreign exchange rates during the current float

1978 • 55 citations

Forward Exchange, Speculation, and the International Flow of Capital

1968 • 54 citations

The Monetary Approach to Exchange Rate in an Efficient Foreign Exchange Market: Tests Based on Volatility

1981 • 52 citations

The Mystery of the Multiplying Marks: A Modification of the Monetary Model

1982 • 51 citations

The behavior of foreign exchange markets : a critical survey of the empirical literature

1978 • 50 citations

Financial Capital Flows in the U.S. Balance of Payments.

1969 • 49 citations

European Capital Markets

2000 • 49 citations

Theory and Implications of Currency Substitution

1976 • 48 citations

The Internationalization of financial markets and national economic policy

1983 • 46 citations

Session Topic: Individual Investors and Mutual Funds

1974 • 46 citations

Asset Markets, Exchange Rates, and Economic Integration

1980 • 45 citations

From Theory to a New Financial Product

1974 • 39 citations

Exchange Rate Economics: Where Do We Stand?

1980 • 37 citations

FOREIGN EXCHANGE MARKET EFFICIENCY UNDER FLEXIBLE EXCHANGE RATES

1977 • 34 citations

International Short-Term Capital Movements: A Survey of Theory and Empirical Analysis (Les mouvements internationaux de capitaux a court terme: etude de theorie et d'analyse empirique) (Movimientos internacionales de capital a corto plazo: panorama de la teoria y el analisis empirico)

1973 • 28 citations

Exchange-Rate Flexibility and the Efficiency of the Foreign-Exchange Markets

1975 • 28 citations

Forward Exchange, Speculation, and the International Flow of Capital.

1967 • 26 citations

Currency risks in international financial markets

1978 • 25 citations

Asset Markets, Exchange Rates, and Economic Integration.

1981 • 24 citations

The reemergence of the purchasing power parity doctrine in the 1970s

1979 • 21 citations

The Euro-dollar market,

1970 • 19 citations

Summary measures of the dollar's foreign exchange value

1978 • 18 citations

Reducing the Cost of Stock Trading

1975 • 18 citations

The International Money Market: An Assessment of Forecasting Techniques and Market Efficiency.

1980 • 17 citations

Portfolio Choice and the Demnand for Forward Exchange

2016 • 16 citations

Exchange Rates, Prices and Money: Lessons from the 1920s

1980 • 15 citations

Rational Expectations, Risk Premia, and the Market for Spot and Forward Exchange

1980 • 12 citations

The Effect of Risk on Interest Rates: A Synthesis of the Macroeconomic and Financial Views

1981 • 10 citations

Implications for the Adjustment Process of International Asset Risks: Exchange Controls, Intervention and Policy Risk, and Sovereign Risk

1980 • 10 citations

Risk and Liquidity: The Keys to Stock Price Behavior

1976 • 8 citations

Tests of Rational Expectations and No Risk Premium in Forward Exchange Markats

1982 • 8 citations

Monetary policy under alternative exchange-rate regimes: simulations with a multi-country model

1979 • 4 citations

Exchange Rate Dynamics

1984 • 3 citations