Journal article
Forward Rate, Spot Rate, and Market Efficiency -- An Empirical Analysis of the Japanese Yen
RBER, review of business and economic research, Vol.22(2)
01 Apr 1987
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Abstract
Yen-dollar exchange rates are used to examine the forward rate, spot rate, and market efficiency. Conventional empirical models are used in the analysis. Monthly data from January 1974 to August 1984 were obtained from Data Resources Inc. and are measured at the end of the month. Spot rate and 30-day forward rate are defined as dollar price per unit of Japanese yen. The full sample is estimated, then 2 subsamples are estimated to allow examination of the underlying parameters' response to a policy change in the Federal Reserve Board operating procedure. Seemingly unrelated regressions and ordinary least squares are applied to the results. The simple efficiency hypothesis for the forward rate was rejected for all periods, with the data more consistent with the general efficiency hypothesis. The forward rate was found to be more significant in the early floating period and the spot rate more dominant in the later period when both were included.
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Details
- Title
- Forward Rate, Spot Rate, and Market Efficiency -- An Empirical Analysis of the Japanese Yen
- Creators
- Thomas ChiangMarilyn Chiang
- Publication Details
- RBER, review of business and economic research, Vol.22(2)
- Publisher
- University of New Orleans, Business and Economic Research
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Identifiers
- 991019184071904721
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- Business, Finance
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