Decision rules, expectations and efficiency in two foreign exchange markets

MacDonald, R. and Young, R. (1986) Decision rules, expectations and efficiency in two foreign exchange markets. De Economist, 134(1), pp. 42-60. (doi:10.1007/BF01705901)

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Abstract

In this paper a model of the exchange rate is developed from trading rules principles. The model is empirically implemented for the German Mark-US Dollar and US Dollar-UK Pound exchange rates using monthly data, over the period June 1978 to December 1982. In terms of forecasting performance and accuracy, the simple trading model is shown to outperform the forward foreign exchange rate.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald
Authors: MacDonald, R., and Young, R.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:De Economist
Publisher:Springer
ISSN:0013-063X
ISSN (Online):1572-9982

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