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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