The Term Structure of Forward Foreign Exchange Premia: The Inter-war Experience

Ronald MacDonald and Mark Taylor

The Manchester School of Economic & Social Studies, 1990, vol. 58, issue 1, 54-65

Abstract: In this paper, the efficient markets view of the term structure of forward foreign exchange premia is tested for the interwar experience with floating exchange rates, using a vector autoregressive methodology. One novel feature of the paper is the use of data sampled more finely than the shortest of the authors' forward maturities; this enables them to conduct highly efficient tests of the term structure model. In common with tests of this model for the recent floating experience, they report an overwhelming rejection. Copyright 1990 by Blackwell Publishers Ltd and The Victoria University of Manchester

Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:bla:manch2:v:58:y:1990:i:1:p:54-65

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