Efficiency in the Forward Foreign Exchange Market: Weekly Tests of the Australian/US Dollar Exchange Rate January 1984‐March 1987

Colm Kearney and Ronald MacDonald

The Economic Record, 1991, vol. 67, issue 3, 237-242

Abstract: This paper examines the relationship which exists between the spot and forward Australian/US Dollar exchange rates for one‐, three‐and six‐month contracts using weekly data over the period January 1984—March 1987. The paper splits the forward premium into a component due to risk and one which is due to a forecasting error, and this analysis is suggestive of a time‐varying risk premium.

Date: 1991
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