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Author:Hopper, Gregory P. 

Journal Article
Is the foreign exchange market inefficient?

Business Review , Issue May , Pages 17-27

Working Paper
Are there regimes of antitrust enforcement? An empirical analysis

In this paper, the authors propose a new index of antitrust enforcement. The index is compiled from quarterly data from the Department of Justice from 1890 to 1989 and is designed to reflect the relative influence of variables that have deterrent effects. The authors use Hamilton's (1989, 1990) regime-switching technique to estimate a model in which the enforcement index follows a regime-specific AR(1) process. The authors find evidence of long-lived regimes. The high enforcement regime, which lasted from about 1910 to the mid-1960s, produced enforcement that was, on average, almost twice as ...
Working Papers , Paper 96-21

Journal Article
Value at risk: a new methodology for measuring portfolio risk

Many different types of institutions hold portfolios of assets, and prudent financial management dictates that these firms be alert to any risks these assets may carry. How can these institutions judge the likelihood and magnitude of potential losses on their portfolios? A new methodology called value at risk (VAR) can be used to estimate these losses. In this article, Greg Hopper describes the various methods used to calculate VAR, paying special attention to its weaknesses.
Business Review , Issue Jul , Pages 19-31

Journal Article
What determines the exchange rate: economic factors or market sentiment?

Do economic factors influence exchange rates? Or does market sentiment play a bigger role? Are short-run exchange rates predictable? Greg Hopper reviews exchange-rate economics, focusing on what is predictable and what isn't. He also examines the practical implications of exchange-rate theories for currency option pricing, risk management, and portfolio selection.
Business Review , Issue Sep , Pages 17-29

Journal Article
A primer on currency derivatives

Business Review , Issue May , Pages 3-14

Working Paper
Time-varying consumption betas and the foreign exchange market

Working Papers , Paper 94-24

Working Paper
The dynamics of the exchange rate under a crawling peg regime: a game theory approach

Working Papers , Paper 95-5

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