Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data

This paper examines the stability of coefficient estimates from weak-form and semi-strong form tests of efficiency in the 30-day forward exchange rate using Canadian/U.S. weekly and monthly data. The structural relationships are unstable and conclusions based on the full sample estimation can, at times, be highly misleading. We argue against the usefulness of semi-strong-form tests in the absence of behavioural modelling.

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Year of publication:	1982
Authors:	Gregory, Allan W. ; McCurdy, Thomas H.
Institutions:	Economics Department, Queen's University

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	4 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005787760