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

Author

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

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.

Suggested Citation

  • Shuming Bai & Kai S. Koong & Lai C. Liu & Bin Wang, 2008. "Predictability of the black and official exchange rates of North American Free Trade Agreement partners," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 1(1), pages 70-84.
    • Handle: RePEc:ids:ijsuse:v:1:y:2008:i:1:p:70-84
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