International Short Term Capital Movements: A Distributed Lag Model of Speculation in Foreign Exchange
EconometricaPublished 1 January 1968
Sven W. Arndt
Citations21
SJR quartileQ1
SJR score21.09
SNIP5.31
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Abstract
The role of speculative short term capital movements in balance of payments adjustment and in exchange market stability is examined. A theory of speculative behavior with a distributed lag model of expectation formation at its core is developed and empirically tested using the Canadian data for the period 1952-1960. Tests of an alternative but generically similar specification of the model are also presented and discussed.
Keywords
Economics, Econometrics and Finance
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