Modelling Risk in the Interwar Foreign Exchange Market

Patricia Fraser and Mark Taylor

Scottish Journal of Political Economy, 1990, vol. 37, issue 3, 241-58

Abstract: There is now evidence to reject the speculative efficiency hypothesis for the 1920s float. This paper investigates whether the rejection may be due to risk aversion. Two models of the risk premium are fitted: the ARCH-in-mean model and the DYMIMIC (kalman filter) model. Some support is found for the reichsmark, but the results are not otherwise supportive of either model. Copyright 1990 by Scottish Economic Society.

Date: 1990
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