Black And Official Exchange Rates in the Pacific Basin: Some Tests For Efficiency

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Black And Official Exchange Rates in the Pacific Basin: Some Tests For Efficiency

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Michael Moore
Kate Phylaktis

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Abstract

Black and official foreign exchange rates have co-existed for many years in a number of major Pacific Basin countries. In this paper, we examine the relationship between the two types of exchange rates by developing the necessary and sufficient conditions for informational efficiency in the cointegration and error correction context. These are applied to the data over the period 1974 to 1993. We find evidence against informational efficiency, more in the short-run than in the long-run.

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Paper provided by Financial Services Research Forum in its series Financial Market Papers with number 7.

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Handle: RePEc:fsr:fsrewp:7

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This paper has been announced in the following NEP Reports:

NEP-ALL-2003-12-14 (All new papers)
NEP-IFN-2003-12-14 (International Finance)

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This page was last updated on 2009-12-2.

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