Testing for efficiency and rationality in foreign exchange markets--a review of the literature and research on foreign exchange market efficiency and rationality with comments
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- Geweke, John F & Feige, Edgar L, 1979. "Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange," The Review of Economics and Statistics, MIT Press, vol. 61(3), pages 334-41, August.
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NBER Working Papers
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- Huisman, Ronald & Koedijk, Kees & Kool, Clemens & Nissen, Francois, 1998. "Extreme support for uncovered interest parity," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 211-228, February.
- John F. O. Bilson, 1980.
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NBER Working Papers
0474, National Bureau of Economic Research, Inc.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- Baillie, Richard T & Lippens, Robert E & McMahon, Patrick C, 1983. "Testing Rational Expectations and Efficiency in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 51(3), pages 553-63, May.
- Hsieh, David A., 1984. "Tests of rational expectations and no risk premium in forward exchange markets," Journal of International Economics, Elsevier, vol. 17(1-2), pages 173-184, August.
- Peel, D A & Pope, P F, 1995. "Time-Varying Risk Premia and the Term Structure of Forward Exchange Rates," The Manchester School of Economic & Social Studies, University of Manchester, vol. 63(1), pages 69-81, March.
- MacDonald, Ronald & Taylor, Mark P, 1990. "The Term Structure of Forward Foreign Exchange Premia: The Inter-war Experience," The Manchester School of Economic & Social Studies, University of Manchester, vol. 58(1), pages 54-65, March.
- Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
- Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October.
- MacDonald, Ronald, 1983. "Tests of Efficiency and the Impact of 'News' in Three Foreign Exchange Markets: The Experience of the 1920's," Bulletin of Economic Research, Wiley Blackwell, vol. 35(2), pages 123-44, November.
- Longworth, David, 1981. "Testing the Efficiency of the Canadian-U.S. Exchange Market under the Assumption of no Risk Premium," Journal of Finance, American Finance Association, vol. 36(1), pages 43-49, March.
- Cavaglia, Stefano M F G & Verschoor, Willem F C & Wolff, Christian C P, 1994. "On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?," The Journal of Business, University of Chicago Press, vol. 67(3), pages 321-43, July.
- MacDonald, Ronald & Torrance, T S, 1988. "Exchange Rates and the "News": Some Evidence Using U.K. Survey Data," The Manchester School of Economic & Social Studies, University of Manchester, vol. 56(1), pages 69-76, March.
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