Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data

Allan Gregory and Thomas McCurdy

Working Paper from Economics Department, Queen's University

Abstract: This paper examines the stability of coefficient estimates from weak-form and semi-strong form tests of efficiency in the 30-day forward exchange rate using Canadian/U.S. weekly and monthly data. The structural relationships are unstable and conclusions based on the full sample estimation can, at times, be highly misleading. We argue against the usefulness of semi-strong-form tests in the absence of behavioural modelling.

Pages: 44
Date: 1982
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:507

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