IDEAS home Printed from https://ideas.repec.org/a/pal/jintbs/v6y1975i1p1-32.html
   My bibliography  Save this article

The Random Behavior of the Flexible Exchange Rates: Implications for Forecasting

Author

Listed:
  • Ian H Giddy

    (University of Michigan)

  • Gunter Dufey

    (University of Michigan)

Abstract

This article explores the forecasting accuracy of the “random walk” and other models of exchange rate behavior. Under present conditions of floating exchange rates, it is argued, anticipations of future demand and supply determine fluctuations in exchange rates. The authors present results consistent with the notion that, for the world's major currencies, the foreign exchange market is an “efficient market” and exchange rate forecasting is not profitable.© 1975 JIBS. Journal of International Business Studies (1975) 6, 1–32

Suggested Citation

  • Ian H Giddy & Gunter Dufey, 1975. "The Random Behavior of the Flexible Exchange Rates: Implications for Forecasting," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 6(1), pages 1-32, March.
  • Handle: RePEc:pal:jintbs:v:6:y:1975:i:1:p:1-32
    as

    Download full text from publisher

    File URL: http://www.palgrave-journals.com/jibs/journal/v6/n1/pdf/8490765a.pdf
    File Function: Link to full text PDF
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: http://www.palgrave-journals.com/jibs/journal/v6/n1/full/8490765a.html
    File Function: Link to full text HTML
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yuanchen Chang, 2004. "A re-examination of variance-ratio test of random walks in foreign exchange rates," Applied Financial Economics, Taylor & Francis Journals, vol. 14(9), pages 671-679.
    2. Winston T. Lin, 2005. "Currency forecasting based on an error components-seemingly unrelated nonlinear regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 593-605.
    3. James J. Kung & E-Ching Wu, 2014. "Which Random Walk Best Portrays the Dynamics of the Japanese Yen?," Australian Economic Papers, Wiley Blackwell, vol. 53(3-4), pages 153-169, December.
    4. Andrea SALAS ORTIZ & Rodrigo GOMEZ MONGE, 2015. "Finding International Fisher effect to determine the exchange rate through the purchasing power parity theory: the case of Mexico during the period 1996-2012," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 15(1), pages 97-110.
    5. Katarzyna Dąbrowska-Gruszczyńska & Marcin Gruszczyński, 2009. "The introduction of the euro in the perspective of accession and the challenges of absorption," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 22.
    6. Marcin Gruszczyński, 2007. "Repression versus free and controlled market. Research into the (weak) effectiveness of the Polish foreign currency (US dollar/zloty) market over the years 1983–1989 and 1991–2006," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 19.
    7. Belaire-Franch, Jorge & Opong, Kwaku K., 2005. "Some evidence of random walk behavior of Euro exchange rates using ranks and signs," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1631-1643, July.
    8. Stanley Black, 1978. "Policy responses to major disturbances of the 1970s and their transmission through international goods and capital markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 114(4), pages 614-641, December.
    9. Beat Gerber, 1980. "Der Zufallscharakter im Wechselkursverhalten," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 116(IV), pages 403-422, December.
    10. Thomas C. Chiang, 1986. "Empirical Analysis On The Predictors Of Future Spot Rates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(2), pages 153-162, June.
    11. Sifunjo E. Kisaka & Wainaina Gituro & Pokhariyal Ganesh & Ngugi W. Rose, 2008. "An analysis of the efficiency of the foreign exchange market in Kenya," Economics Bulletin, AccessEcon, vol. 14(2), pages 1-13.
    12. Frank McCormick, 1979. "A simple model of the welfare effects of central bank intervention in the foreign exchange market," International Finance Discussion Papers 147, Board of Governors of the Federal Reserve System (U.S.).
    13. Hans Genberg & Jean-Pierre Roth, 1979. "Exchange-Rate Stabilization Policy and Monetary Target with Endogenous Expectations," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 115(III), pages 527-545, September.
    14. repec:fau:fauart:v:67:y:2017:i:3:p:199-220 is not listed on IDEAS
    15. Amelie Charles & Olivier Darne, 2009. "Testing for Random Walk Behavior in Euro Exchange Rates," Economie Internationale, CEPII research center, issue 119, pages 25-45.
    16. Frenkel, Jacob A. & Mussa, Michael L., 1985. "Asset markets, exchange rates and the balance of payments," Handbook of International Economics,in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 14, pages 679-747 Elsevier.
    17. repec:jfr:ijfr11:v:8:y:2017:i:4:p:7-22 is not listed on IDEAS
    18. Bhatti, Razzaque H., 2014. "The existence of uncovered interest parity in the CIS countries," Economic Modelling, Elsevier, vol. 40(C), pages 227-241.
    19. Bardia Kamrad & Akhtar Siddique, 2004. "Supply Contracts, Profit Sharing, Switching, and Reaction Options," Management Science, INFORMS, vol. 50(1), pages 64-82, January.
    20. Fathi Abid & Moncef Habibi, 2010. "Hedging Transaction Exposure within the Context of a Basket Foreign Exchange Rate Arrangement," Working Papers 523, Economic Research Forum, revised 05 Jan 2010.
    21. Ajayi, Richard A. & Karemera, David, 1996. "A variance ratio test of random walks in exchange rates: Evidence from Pacific Basin economies," Pacific-Basin Finance Journal, Elsevier, vol. 4(1), pages 77-91, May.
    22. repec:ebl:ecbull:v:14:y:2008:i:2:p:1-13 is not listed on IDEAS
    23. Kunze, Frederik, 2017. "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," Center for European, Governance and Economic Development Research Discussion Papers 326, University of Goettingen, Department of Economics.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:jintbs:v:6:y:1975:i:1:p:1-32. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.palgrave-journals.com/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.