The informational efficiency of the black and official exchange markets of DR-CAFTA nations

Shuming Bai, Kai S. Koong, Lai C. Liu and Binshan Lin

International Journal of Electronic Finance, 2008, vol. 2, issue 3, 330-347

Abstract: This study examines the long-run informational efficiency and short-run predictability of the black and official exchange markets of Dominican Republic-Central American Free Trade Agreement (DR-CAFTA) nations. Applying a battery of nonparametric as well as time series models, this study finds that the black market information exhibited a nonrandom behaviour. In four of the six examined countries, the black and official markets were found to have a co-integrating relationship. Both the vector error correction model and the Granger causality test confirmed that the black market information was a good predictor of the official rates.

Keywords: electronic finance; e-finance; black market rates; official exchange rates; market efficiency; Dominican Republic-Central American Free Trade Agreement; DR-CAFTA; Dominican Republic. (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijelfi:v:2:y:2008:i:3:p:330-347

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