Efficiency in the Forward Foreign Exchange Market: Weekly Tests of the Australian/U.S. Dollar Exchange Rate January 1984-March 1987
This 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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Volume (Year): 67 (1991)
Issue (Month): 198 (September)
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