EconPapers    
Economics at your fingertips  
 

Efficiency and Expectations Revisited: A Foreign Exchange Market with Bayesian Players

Nicos Christodoulakis (), Sarantis Kalyvitis () and Nick Karamouzis

No 1016, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: The paper re-examines the efficiency hypothesis in the foreign exchange market. The traditional efficiency testing equations are reviewed and a model is developed that incorporates Bayesian revisions in the form of devaluation expectations. A number of propositions regarding the pattern of the coefficients in efficiency testing equations are established. The results are confirmed by the empirical estimation of the model for the Greek foreign exchange market.

Keywords: Bayesian Learning; Devaluation; Efficiency; Expectations; Unbiasedness (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 1994-09
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=1016 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:1016

Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... ers/dp.php?dpno=1016

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().

 
Page updated 2019-08-23
Handle: RePEc:cpr:ceprdp:1016