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The Dynamics of Spot and Forward Prices in an Efficient Foreign Exchange Market with Rational Expectations

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  • Stein, Jerome L

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  • Stein, Jerome L, 1980. "The Dynamics of Spot and Forward Prices in an Efficient Foreign Exchange Market with Rational Expectations," American Economic Review, American Economic Association, vol. 70(4), pages 565-583, September.
    • Handle: RePEc:aea:aecrev:v:70:y:1980:i:4:p:565-83
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    Cited by:

    1. Bernard Walliser, 1982. "Equilibres et anticipations," Revue Économique, Programme National Persée, vol. 33(4), pages 594-638.
    2. Kebede, Yohannes, 1992. "Causality and Efficiency in the Coffee Futures Market," MPRA Paper 646, University Library of Munich, Germany, revised 1992.
    3. Gregory, Allan W. & McCurdy, Thomas H., 1984. "Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis," Journal of International Money and Finance, Elsevier, vol. 3(3), pages 357-368, December.
    4. Michael L. Mussa, 1984. "The Theory of Exchange Rate Determination," NBER Chapters, in: Exchange Rate Theory and Practice, pages 13-78, National Bureau of Economic Research, Inc.
    5. Bandopadhyaya, Arindam, 1991. "Speculative efficiency and risk premium in the market for foreign exchange : In search of the true specification," Economics Letters, Elsevier, vol. 36(3), pages 299-304, July.
    6. Peggy Swanson, 1998. "Spot and forward exchange rates as predictors of future spot rates: trends in exchange market value and the contribution of new information," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 129-138, June.
    7. Glenn W. Harrison, 1992. "Market Dynamics, Programmed Traders and Futures Markets: Beginning the Laboratory Search for a Smoking Gun," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 46-62, December.

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