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- Title
ON RISK, RATIONALITY AND EXCESSIVE SPECULATION IN THE DEUTSCHMARK-US DOLLAR EXCHANGE MARKET: SOME EVIDENCE USING SURVEY DATA.
- Authors
MacDonald, R.; Torrance, T.S.
- Abstract
The article examines some of the properties of the survey data produced by Money Market Services UK for the Deutschmark-United States dollar exchange rate. It describes a framework for testing the efficiency of the forward foreign exchange market. Some regression results using other survey data are reported. It shows that the forward premium is a biased predictor of the actual future spot rate. The article also suggests that the use of survey data allows discrimination of whether such failure is due to the irrationality of speculators or the existence of risk.
- Subjects
UNITED Kingdom; UNITED States; FOREIGN exchange; FOREIGN exchange market; U.S. dollar; MARK (German currency); MONEY market; REGRESSION analysis
- Publication
Oxford Bulletin of Economics & Statistics, 1988, Vol 50, Issue 2, p107
- ISSN
0305-9049
- Publication type
Article
- DOI
10.1111/j.1468-0084.1988.mp50002001.x