IDEAS home Printed from https://ideas.repec.org/a/wsz/fiq000/v8y2012i3id831.html

Foreign Exchange Market Efficiency. Empirical Results For The Usd/Eur Market

Author

Listed:
  • KATARZYNA ANNA CZECH

    (Szkoła Główna Gospodarstwa Wiejskiego, Wydział Nauk Ekonomicznych)

  • ADAM WASZKOWSKI

    (Szkoła Główna Gospodarstwa Wiejskiego, Wydział Nauk Ekonomicznych)

Abstract

The aim of the paper is to verify whether the USD/EUR exchange rate market is efficient. The fundamental parity condition for testing foreign exchange market efficiency is represented by the uncovered interest-rate parity (UIP). Therefore, the UIP hypothesis verification accounts for the crucial part of the paper. The efficiency of the USD/EUR market is tested by applying the conventional UIP regression approach and orthogonality test of the forward rate forecast error. The results show that it is hard to say definitely that USD/EUR foreign exchange market is inefficient. The slope coefficient in UIP regression occurs to be negative, which implies the failure of uncovered interest-rate parity. However, there are no foundations to reject the UIP hypotheses in the time of financial crisis of 21st century. Moreover, the article presents that the forward forecast error is not orthogonal to both its lagged value and the interest rate differential. Thus, the semi-strong foreign exchange market efficiency hypothesis is rejected for the USD/EUR market.

Suggested Citation

Handle: RePEc:wsz:fiq000:v:8:y:2012:i:3:id:831
DOI: 10.65748/fiqf-2012-0020
as

Download full text from publisher

File URL: https://journals.wsiz.edu.pl/fiq/article/view/831
File Function: Abstract page
Download Restriction: no
File URL: https://journals.wsiz.edu.pl/fiq/article/download/831/787
File Function: Full text
Download Restriction: no
File URL: https://libkey.io/10.65748/fiqf-2012-0020?utm_source=ideas
LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
---><---

More about this item

Keywords

;
;
;

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:wsz:fiq000:v:8:y:2012:i:3:id:831. 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: Wiesław Stręciwilk (email available below). General contact details of provider: https://journals.wsiz.edu.pl/fiq .

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.