Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. Research Department.
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| ISBN: | 1451892195
9781451892192
1281605859
9781281605856
9781451844504
1451844506
1462387403
9781462387403
1451985479
9781451985474
9786613786548
6613786543
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| Notes: | Includes bibliographical references (pages 27-29).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | The world of exchange rate economics is replete with many puzzling facts that include: (1) spot rates that occasionally jump discontinuously from one level to another;1 (2) periodic short term regimes of persistent appreciation or depreciation that defy fundamentals and that can develop into a long swing;2 (3) changes in the spot rate that move in the opposite direction from what is suggested by lagged values for the forward discount, or, equivalently, lagged values for the interest rate differential, i.e., the so-called forward discount bias;3 this puzzle is associated with excess profits for investments in high interest rate countries, thereby suggesting the possibility of market inefficiency;4and (4) exchange rates often experience periods of tranquility that are interrupted by clusters of volatility,5 which generates a heteroskedastic frequency distribution for changes in the exchange rate.
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| Other form: | Print version: Miller, Norman C., 1939- Explaining foreign exchange market puzzles. [Washington, D.C.] : International Monetary Fund, Research Department, ©1999
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| Standard no.: | 10.5089/9781451892192.001
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