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Devisenmärkte und Wechselkurse: Eine theoretische und by Dr. Werner Gaab (auth.)

24 February 2017 adminContemporary

By Dr. Werner Gaab (auth.)

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Additional info for Devisenmärkte und Wechselkurse: Eine theoretische und empirische Analyse

Example text

H. es wird nicht nur der Erwartungswert, sondern die gesamte Verteilung bei der Beschreibung des Gleichgewichts berUcksichtigt. Dabei wird nicht vorausgesetzt, daB die Renditen bzw. Preisver~nderungen normal verteilt sind - wie dies h~ufig getan wird -, sondern nur, daB die Verteilung station~r ist. Damit kann das RandomWalk-Modell im Prinzip als ein Spezialfall des allgemeineren Martingal-Modells aufgefaBt werden. W~hrend 1) Vgl. J. Granger und 0. Morgenstern (1970, S. ), das die Modelle von Samuelson und Mandelbrot als Spezialf~lle enthalt.

But where the force of common judgements is sufficient to produce an orderly adjustment of prices to new information. Such an intuitively appealing statement is. however. too unspecific to be the basis of formal tests. Formal tests require formal models. " 1 ) Eine wesentliche Implikation eines effizienten Marktes besteht darin. daB bei Sicherheit der Erwartungen kein Investor in der Lage ist. durch Prognose der kUnftigen Preise auf der Basis der verfUgbaren Informationen auBergewohnliche Gewinne zu erzielen.

Unprofessional' and poor of 'reading the market,"1) und zur"falschen"Zeit mit "falschen" Betr~gen zu intervenieren. Einige Banken berichten. daB der groBere Teil ihrer Gewinne aus Devisengesch~ften nicht aus Gesch~ften mit der Privatkundschaft resultiert, sondern aus solchen mit Zentralbanken. 2 ) Eine Bank hat geantwortet. H. ihrer Gewinne aus Devisengesch~ften seit 1973 auf Transaktionen mit den Zentralbanken zurUckgefUhrt werden konnen. 1) 2) Group of Thirty (1980. S. 31) 13 Banken haben dabei eine schriftliche Antwort auf eine entsprechende Frage verweigert.

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