Originally published in 1984. This book examines two important dimensions of efficiency in the foreign exchange market using econometric techniques. It responds to the macroeconomics trend to re-examining the theories of exchange rate determination following the erratic behaviour of exchange rates in the late 1970s. In particular the text looks at the relation between spot and forward exchange rates and the term structure of the forward premium, both of which require a joint test of market efficiency and the equilibrium model. Approaches used are the regression of spot rates on lagged forward rates and an explicit time series analysis of the spot and forward rates, using data from Canada, the United Kingdom, the Netherlands, Switzerland and Germany.
1. Introduction 2. Foreign Exchange Market Efficiency 3. The Term Structure of the Forward Premium 4. Conclusions. Appendices
Reissuing works originally published between 1923 and 1997, this collection of books on exchange rate economics is a unique resource in international finance and economic history. Books in the set look at foreign exchange policy, currency and markets in a range of eras and contexts.