| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP407 |
| DP407 Re-Interpreting the Failure of Foreign Exchange Market Efficiency Tests: Small Transaction Costs, Big Hysteresis Bands | |
| Richard Baldwin | |
| 发表日期 | 1990-04-01 |
| 出版年 | 1990 |
| 语种 | 英语 |
| 摘要 | Small transaction costs and uncertainty imply that optimal cross-currency interest rate speculation is marked by a first-order hysteresis band. Consequently uncovered interest parity does not hold and market-efficiency tests based on it are mis-specified. Indeed, measured prediction errors are a combination of true prediction errors and a wedge that consists of the 'option value' of being in foreign currency and either plus or minus the transaction cost. Due to the nature of this wedge, we should expect measured prediction errors to be serially correlated, correlated with the current forward rate and perhaps have a non-zero mean, if the interest differential itself is serially correlated. The existence of the wedge helps account both for the failure of market-efficiency tests and for the difficulties in finding an empirically successful model of the risk premium. |
| 主题 | International Macroeconomics |
| 关键词 | Foreign exchange market efficiency Forward rate bias Hysteresis Risk premia Transaction costs |
| URL | https://cepr.org/publications/dp407 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529562 |
| 推荐引用方式 GB/T 7714 | Richard Baldwin. DP407 Re-Interpreting the Failure of Foreign Exchange Market Efficiency Tests: Small Transaction Costs, Big Hysteresis Bands. 1990. |
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