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

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  • WARREN J. TEASE

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 post‐float period as a whole, the speculative efficiency hypothesis can be rejected in the 30‐day market but not in the 15‐day or 90‐day markets. Evidence of a structural change in the market in February 1985—the time of the first major depreciation ‐ was also found.

Suggested Citation

  • Warren J. Tease, 1988. "Speculative Efficiency and the Exchange Rate: Some Evidence Since the Float," The Economic Record, The Economic Society of Australia, vol. 64(1), pages 2-13, March.
    • Handle: RePEc:bla:ecorec:v:64:y:1988:i:1:p:2-13
    DOI: 10.1111/j.1475-4932.1988.tb02035.x
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    References listed on IDEAS

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    1. Hodrick, Robert J. & Srivastava, Sanjay, 1984. "An investigation of risk and return in forward foreign exchange," Journal of International Money and Finance, Elsevier, vol. 3(1), pages 5-29, April.
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    13. repec:bla:ecorec:v:59:y:1983:i:166:p:271-80 is not listed on IDEAS
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    Cited by:

    1. 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.
    2. 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.
    3. K.F. Wallis, 1992. "On Macroeconomic Policy and Macroeconomic Modeling," Economics Discussion / Working Papers 92-04, The University of Western Australia, Department of Economics.
    4. Arusha Cooray, 2003. "Financial integration: some evidence from Australia," Applied Economics Letters, Taylor & Francis Journals, vol. 10(15), pages 959-966.
    5. 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.
    6. 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.
    7. 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.

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