IDEAS home Printed from https://ideas.repec.org/a/bla/obuest/v49y1987i3p323-33.html
   My bibliography  Save this article

The Role of Speculation in the Forward Exchange Market: Some Consistent Estimates Assuming Rational Expectations

Author

Listed:
  • Taylor, Mark P

Abstract

This paper develops and estimates an equilibrium condition relating to the modern t heory of forward exchange. The author uses high-quality, overlapping, weekly data for dollar-franc and dollar-sterling exchange and intere st rates, and utilizes a generalized method of moments estimator to y ield consistent and efficient estimates under the assumption of ratio nal expectations. The results suggest the dominance of speculation as a determinant of the dollar-sterling thirty-day forward rate, and gi ve more weight to arbitrage in the determination of the dollar-franc thirty-day forward rate. Copyright 1987 by Blackwell Publishing Ltd

Suggested Citation

  • Taylor, Mark P, 1987. "The Role of Speculation in the Forward Exchange Market: Some Consistent Estimates Assuming Rational Expectations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 49(3), pages 323-333, August.
    • Handle: RePEc:bla:obuest:v:49:y:1987:i:3:p:323-33
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:49:y:1987:i:3:p:323-33. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfeixuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.