Efficiency in the Forward Foreign Exchange Market: Weekly Tests of the Australian/U.S. Dollar Exchange Rate January 1984-March 1987
AbstractThis paper examines the relationship that exists between the spot and forward Australian/U.S. dollar exchange rates for one-month, three-month and six-month contracts using weekly data over the period January 1984-March 1987. The paper splits the forward premium into a component due to risk and one that is due to a forecasting error, and this analysis is suggestive of a time-varying risk premium. Copyright 1991 by The Economic Society of Australia.
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Bibliographic InfoArticle provided by The Economic Society of Australia in its journal The Economic Record.
Volume (Year): 67 (1991)
Issue (Month): 198 (September)
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- Ligeralde, Antonio V., 1997. "Covariance matrix estimators and tests of market efficiency," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(2), pages 323-343, April.
- Engel, Charles, 1996.
"The forward discount anomaly and the risk premium: A survey of recent evidence,"
Journal of Empirical Finance, Elsevier,
Elsevier, vol. 3(2), pages 123-192, June.
- Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
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