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| Author: | Smoluk, H. J. Vasconcellos, G. M. Kramer, J. K. |
| Title: | Random walks in the U.K. Pound/U.S. Dollar exchange rates. |
| Journal: | International Review of Financial Analysis
1998 : VOL. 7:1, p. 65-82 |
| Index terms: | Exchange rates Exchange rate mechanism Foreign exchange market Random walks |
| Language: | eng |
| Abstract: | Since the adoption of flexible exchange rates in 1970s, tests of foreign exchange rate efficiency have abounded. This paper shows that the random walk hypothesis is not rejected for the £/$ annual real exchange rate has mean revearting tendencies due to PPP, frequent and strong shocks to the nominal exchange rate assure that the series follows a random walk since these shocks directly influence real exchange rates. |
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