Efficiency in the Forward Foreign Exchange Market: Weekly Tests of the Australian/U.S. Dollar Exchange Rate January 1984-March 1987.

This paper examines the relationship that exists between the spot and forward Australian/U.S. dollar exchange rates for one-month, three-month 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 that is due to a forecasting error, and this analysis is suggestive of a time-varying risk premium. Copyright 1991 by The Economic Society of Australia.

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Year of publication:	1991
Authors:	Kearney, Colm ; MacDonald, Ronald
Published in:	The Economic Record. - Economic Society of Australia - ESA, ISSN 1475-4932. - Vol. 67.1991, 198, p. 237-42
Publisher:	Economic Society of Australia - ESA

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005315802