| Author: | MacDonald, R. Taylor, M. |
| Title: | Risk, efficiency and speculation in the 1920s foreign exchange market - an overlapping data analysis. |
| Journal: | Weltwirtschaftliches Archiv
1991 : VOL. 127:3, p. 500-523 |
| Index terms: | EXCHANGE RATES ECONOMIC HISTORY |
| Language: | eng |
| Abstract: | The hypothesis that foreign exchange markets were efficient in the interwar period is tested with weekly data for cash and one to three month termed deals. The hypothesis is rejected by standard orthogonality test and vector autoregression technique. Relying on a special risk premium model the authors investigate the role of risk neutrality and rationality in market behaviour. |
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