Black and official exchange rates in the Pacific Basin: some tests of dynamic behaviour

Michael Moore and Kate Phylaktis

Applied Financial Economics, 2000, vol. 10, issue 4, 361-369

Abstract: Black and official foreign exchange rates have co-existed for many years in a number of major Pacific Basin countries. In this paper, a framework is developed for examining the relationship between the two types of exchange rates in the cointegration and error correction context for both the short and long run. This is applied to the data over the period January 1974 to June 1992. Evidence against the standard portfolio theory of black market behaviour is found.

Date: 2000
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DOI: 10.1080/09603100050031480

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