The Behaviour of the Australian Forward Exchange Market

Mario Levis
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Mario Levis: School of Management, University of Bath, UK.

Australian Journal of Management, 1982, vol. 7, issue 1, 61-74

Abstract: The efficiency of the Australian official forward exchange market is tested for the period September 1974 to June 1981. The results indicate that while the 90-days US dollar forward rate was an unbiased predictor of the future spot rate for the period as a whole, substantial differences between the two rates have been evident over prolonged short-run periods. Such evidence raises some important policy questions about the existing arrangements in the forward exchange market.

Keywords: FOREIGN EXCHANGE; FORWARD RATES; MARKET EFFICIENCY (search for similar items in EconPapers)
Date: 1982
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:7:y:1982:i:1:p:61-74

DOI: 10.1177/031289628200700106

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