Financial Liberalisation, Asset Prices and Exchange Rates

Marcus Miller and Paul Weller
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Paul Weller: University of Iowa and CEPR

No 95, OECD Economics Department Working Papers from OECD Publishing

Abstract: This paper is one of four in this Working Paper Series, focusing on financial liberalisation, along with those of Kupiec, Driscoll and Blundell-Wignall and Browne. It surveys recent work, both theoretical and empirical, on the question of market efficiency in various asset markets. A number of studies of behaviour in the foreign exchange market, which provide evidence of departures from efficiency, are described. The paper summarises and discusses the implications of research on the effects of noise trading by "irrational" groups of agents, with particular reference to the stock market. The housing market is also considered as an example where pronounced price "bubbles" have appeared. The paper concludes with a discussion of the potential welfare impact of departures from efficiency in the foreign exchange market, where it is argued that the case for some form of intervention is strongest ... Le présent document constitue l'une de quatre études de cette Série consacrée à la libéralisation financière, avec celles de Kupiec, de Driscoll, et de Blundell-Wignall et Browne. Il rassemble les conclusions des travaux récents, théoriques et empiriques, qui examinent ce problème sur certains marchés d'actifs et décrit un certain nombre d'études de comportement sur les marchés de change, qui témoignent d'actes contraires à la notion d'efficience. Ensuite, il présente et débat des implications de la recherche sur les effets induits par les "bruits" de certains groupes d'agents "irrationnels", en se concentrant plus particulièrement sur les marchés de valeurs mobilières. Le marché du logement est également considéré, en tant qu'exemple de marché ou d'importantes "bulles" spéculatives se sont formées. Le document se termine par des commentaires sur les effets potentiels, en termes d'avantages collectifs, des phénomènes de non efficience observés sur les marchés de change, et conclut ...

Date: 1991-02-01
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