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Exchange Rate Changes and Pricing Behavior of Japanese Firms: A Cross-Section Analysis

✍ Scribed by Koji Shinjo

Book ID
115625572
Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
731 KB
Volume
7
Category
Article
ISSN
0889-1583

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This paper focuses on the cross-dynamics of exchange rate expectations over different time-scales. We use overthe-counter currency options on the euro, Japanese yen, and British pound vis-a`-vis the U.S. dollar to extract expected probability density functions of future exchange rates, and apply rec