The Behaviour of the Australian Forward Exchange Market
- 1 June 1982
- journal article
- research article
- Published by SAGE Publications in Australian Journal of Management
- Vol. 7 (1) , 61-74
- https://doi.org/10.1177/031289628200700106
Abstract
The efficiency of the Australian official forward exchange market is tested for the period September 1974 to June 1981. The results indicate that while the 90-days US dollar forward rate was an unbiased predictor of the future spot rate for the period as a whole, substantial differences between the two rates have been evident over prolonged short-run periods. Such evidence raises some important policy questions about the existing arrangements in the forward exchange market.Keywords
This publication has 4 references indexed in Scilit:
- Testing the Efficiency of the Canadian‐U.S. Exchange Market under the Assumption of no Risk PremiumThe Journal of Finance, 1981
- Tests of Rational Expectations in the Forward Exchange MarketSouthern Economic Journal, 1980
- Testing for Rational Expectations in Foreign Exchange MarketsInternational Finance Discussion Papers, 1979
- A Theoretical and Empirical Framework for Analyzing the Term Structure of Exchange Rate Expectations (Cadre theorique et empirique pour une analyse de l'evolution probable de la structure des taux de change) (Un marco teorico y empirico para analizar la estructura cronologica de las expectativas de tipos de cambio)Staff Papers, 1971