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Predictability of the black and official exchange rates of North American Free Trade Agreement partners

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  • Shuming Bai
  • Kai S. Koong
  • Lai C. Liu
  • Bin Wang
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    Abstract

    Currency stability is a critical component in global commerce. This study examines the informational efficiency of the black and official exchange markets in the North American Free Trade Agreement partners. Using a series of non-parametric as well as time series models, this study finds that the black market information exhibits a non-random behaviour. The results can have implications for business executives who must deal with exchange rate risks and accumulate wealth. For policy-makers, this study shows that the black market exchange rates can be a useful guide for setting the official rates to ensure economic growth and sustainability.

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    Bibliographic Info

    Article provided by Inderscience Enterprises Ltd in its journal Int. J. of Sustainable Economy.

    Volume (Year): 1 (2008)
    Issue (Month): 1 ()
    Pages: 70-84

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    Handle: RePEc:ids:ijsuse:v:1:y:2008:i:1:p:70-84

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    Web page: http://www.inderscience.com/browse/index.php?journalID=301

    Related research

    Keywords: black market; exchange rates; currency market efficiency; economic growth; NAFTA; North American Free Trade Agreement; official exchange rates; sustainability; currency stability; sustainable economy; exchange rate risks; sustainable development.;

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