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...

The speculative efficiency of the Sydney Futures Exchange's market in bank accepted bills is examined by considering if the futures price is an unbiased predictor of the subsequent spot price and if other publicly available information can improve on this predictor. Data spanning the period...

In this paper we test the well-known hypothesis of Obstfeld and Rogoff (2000) that tradecosts are the key to explaining the so-called Feldstein-Horioka puzzle. Using a gravityframework in an intertemporal context, we provide strong support for the hypothesis and wereconcile our results with the...