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Speculative Efficiency and the Exchange Rate: Some Evidence since the Float

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  • Tease, Warren J

Abstract

This paper considers whether the speculative efficiency hypothesis holds in the foreign exchange market since the floating of the Australian dollar in December 1983. For the postfloat period as a whole, the speculative efficiency hypothesis can be rejected in the thirty-day market, but not in the fifteen-day or ninety-day markets. Evidence of a structural change in the market in February 1985--the time of the first major depression--was also found. Copyright 1988 by The Economic Society of Australia.

Suggested Citation

  • Tease, Warren J, 1988. "Speculative Efficiency and the Exchange Rate: Some Evidence since the Float," The Economic Record, The Economic Society of Australia, vol. 64(184), pages 2-13, March.
    • Handle: RePEc:bla:ecorec:v:64:y:1988:i:184:p:2-13
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    Cited by:

    1. K.F. Wallis, 1992. "On Macroeconomic Policy and Macroeconomic Modeling," Economics Discussion / Working Papers 92-04, The University of Western Australia, Department of Economics.
    2. Douglas, Justin J. & Bartley, Scott W., 1997. "Risk premia in Australian interest rates," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 41(2), pages 1-35.
    3. Kenneth F. Wallis, 1993. "On Macroeconomic Policy and Macroeconometric Models," The Economic Record, The Economic Society of Australia, vol. 69(2), pages 113-130, June.
    4. Adrian Blundell-Wignall & Jerome Fahrer & Alexandra Heath, 1993. "Major Influences on the Australian Dollar Exchange Rate," RBA Annual Conference Volume (Discontinued), in: Adrian Blundell-Wignall (ed.),The Exchange Rate, International Trade and the Balance of Payments, Reserve Bank of Australia.
    5. Warren J. Tease, 1988. "The Expectations Theory of the Term Structure of Interest Rates in Australia," The Economic Record, The Economic Society of Australia, vol. 64(2), pages 120-127, June.
    6. Bruce Felmincham & Peter Mansfield, 1997. "Rationality and the Risk Premium on the Australian dollar," International Economic Journal, Taylor & Francis Journals, vol. 11(3), pages 47-59.
    7. Arusha Cooray, 2003. "Financial integration: some evidence from Australia," Applied Economics Letters, Taylor & Francis Journals, vol. 10(15), pages 959-966.
    8. Wright, Robert S. & Gilmour, Karen & Matthews, Lynette & O'Mara, L. Paul, 1991. "Some Implications of Microeconomic Reform for the Macroeconomy and the Commodities Sector," 1991 Conference (35th), February 11-14, 1991, Armidale, Australia 145716, Australian Agricultural and Resource Economics Society.
    9. S.P.G. Teo, 1990. "The Efficiency of the Australian Foreign Exchange Market," Economics Discussion / Working Papers 90-25, The University of Western Australia, Department of Economics.

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