IDEAS home Printed from https://ideas.repec.org/a/ris/ecoint/0460.html
   My bibliography  Save this article

Exchange Rate Market Efficiency Tests and Cointegration Analysis

Author

Listed:
  • Cifarelli, Giulio

    (Economics) Facoltà di Economia (Faculty of Economics) Università degli Studi di Firenze)

Abstract

Exchange rate market efficiency tests have been strongly influenced by the finding that the exchange rate time series are mostly nonstationary. The early efficiency tests — which tended to support the hypothesis of interest — have been found to be incorrect and have been replaced by new tests which strongly reject the hypothesis that the forward exchange rate is an unbiased predictor of the future spot exchange rate. In this paper we suggest a possible interpretation of these findings with the help of cointegration analysis and show that the empirical evidence on the unbiased efficiency hypothesis is still controversial, since the theory of efficient markets does not accommodate well to the short run versus long run distinction.

Suggested Citation

  • Cifarelli, Giulio, 1992. "Exchange Rate Market Efficiency Tests and Cointegration Analysis," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 45(2), pages 197-208.
    • Handle: RePEc:ris:ecoint:0460
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    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:ris:ecoint:0460. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Angela Procopio (email available below). General contact details of provider: https://edirc.repec.org/data/cacogit.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.