Exchange risk and unanticipated changes in exchange rates
In this paper exchange risk is defined as the unanticipated part of the future changes in the exchange rates of a given currency. The unanticipated component in the fluctuations of a given currency is identified on the basis of a dynamic equilibrium process which determines the anticipated changes i...
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| Veröffentlicht in: | Journal of banking & finance 1978-10, Vol.2 (3), p.269-280 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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| Zusammenfassung: | In this paper exchange risk is defined as the unanticipated part of the future changes in the exchange rates of a given currency. The unanticipated component in the fluctuations of a given currency is identified on the basis of a dynamic equilibrium process which determines the anticipated changes in the future exchange rates. Following the basic definition, a hypothetical process of dynamic adjustment and an empirical illustration of a possible estimation are discussed. |
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| ISSN: | 0378-4266 1872-6372 |
| DOI: | 10.1016/0378-4266(78)90016-X |