Efficiency in the forward foreign exchange market: weekly tests of the Australian/US dollar exchange rate January 1984-March 1987

Kearney, C. and MacDonald, R. (1991) Efficiency in the forward foreign exchange market: weekly tests of the Australian/US dollar exchange rate January 1984-March 1987. Economic Record, 67(3), pp. 237-242. (doi:10.1111/j.1475-4932.1991.tb02550.x)

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Abstract

This paper examines the relationship which exists between the spot and forward Australian/US Dollar exchange rates for one-, three-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 which is due to a forecasting error, and this analysis is suggestive of a time-varying risk premium.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald
Authors: Kearney, C., and MacDonald, R.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Economic Record
Publisher:Wiley
ISSN:0013-0249
ISSN (Online):1475-4932

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