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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w0474 |
来源ID | Working 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 |
URL | https://www.nber.org/papers/w0474 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
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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w0474.pdf(632KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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