| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP627 |
| DP627 Efficiency in the Peseta Forward Exchange Rate Market | |
| Juan Dolado; Juan Ayuso; Simón Sosvilla-Rivero | |
| 发表日期 | 1992-02-29 |
| 出版年 | 1992 |
| 语种 | 英语 |
| 摘要 | This paper applies recent cointegration techniques to analyse whether the forward market for the peseta/US dollar is efficient in both the one-month and the three-month segments of the market. Under the assumption of rationality, the premiums are small and they suggest a possible linear relationship between the premium and the expiry date of the contract. As a by-product of the analysis, an explanation is offered for the conflicting results which have been obtained in testing forward market efficiency, when such efficiency is tested with series in levels or with the deviations thereof in relation to the current spot rates. |
| 主题 | International Macroeconomics |
| 关键词 | Cointegration Efficient markets Exchange rates Risk premiums |
| URL | https://cepr.org/publications/dp627 |
| 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/529786 |
| 推荐引用方式 GB/T 7714 | Juan Dolado,Juan Ayuso,Simón Sosvilla-Rivero. DP627 Efficiency in the Peseta Forward Exchange Rate Market. 1992. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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