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The Behaviour of the Australian Forward Exchange Market

Author

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  • Mario Levis

    (School of Management, University of Bath, UK.)

Abstract

The efficiency of the Australian official forward exchange market is tested for the period September 1974 to June 1981. The results indicate that while the 90-days US dollar forward rate was an unbiased predictor of the future spot rate for the period as a whole, substantial differences between the two rates have been evident over prolonged short-run periods. Such evidence raises some important policy questions about the existing arrangements in the forward exchange market.

Suggested Citation

  • Mario Levis, 1982. "The Behaviour of the Australian Forward Exchange Market," Australian Journal of Management, Australian School of Business, vol. 7(1), pages 61-74, June.
    • Handle: RePEc:sae:ausman:v:7:y:1982:i:1:p:61-74
    DOI: 10.1177/031289628200700106
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    References listed on IDEAS

    as
    1. Longworth, David, 1981. "Testing the Efficiency of the Canadian-U.S. Exchange Market under the Assumption of no Risk Premium," Journal of Finance, American Finance Association, vol. 36(1), pages 43-49, March.
    2. Frenkel, Jacob A, 1977. "The Forward Exchange Rate, Expectations, and the Demand for Money: The German Hyperinflation," American Economic Review, American Economic Association, vol. 67(4), pages 653-670, September.
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    Cited by:

    1. 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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