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来源类型Working Paper
规范类型报告
DOI10.3386/w0474
来源IDWorking Paper 0474
The \"Speculative Efficiency\" Hypothesis
John F. O. Bilson
发表日期1980-04-01
出版年1980
语种英语
摘要The hypothesis that forward prices are the best unbiased forecast of future spot prices is often presented in the economic and financial analysis of futures markets. This paper considers the hypothesis independently of its implications for rational expectations or market efficiency and in order to stress this fact, the term "speculative efficiency" is used to characterize the state envisaged under the hypothesis. If a market is subject to efficient speculation, the supply of speculative funds is infinitely elastic at the forward price that is equal to the expected future spot price. The expected future spot price is a market price determined as the solution to the underlying rational expectations macroeconomic model. Although the paper is primarily concerned with testing this hypothesis in the foreign exchange market, the methodology introduced in the paper is of general application to all futures markets.
主题International Economics
URLhttps://www.nber.org/papers/w0474
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/557657
推荐引用方式
GB/T 7714
John F. O. Bilson. The \"Speculative Efficiency\" Hypothesis. 1980.
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