Econometrica: Jan 1968, Volume 36, Issue 1

International Short Term Capital Movements: A Distributed Lag Model of Speculation in Foreign Exchange

https://doi.org/0012-9682(196801)36:1<59:ISTCMA>2.0.CO;2-8
p. 59-70

Sven W. Arndt

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.

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