Exchange Rate Convergence and Market Efficiency

Costas Karfakis and Ashok Parikh

No 167, Working Papers from University of Sydney, School of Economics

Abstract: The objective of this paper is to examine the market efficiency hypothesis for five major exchange rats of the Australian dollar using multivariate cointegration techniques. The conclusion is that cointegrated relations exist in foreign exchange markets when interdependence among exchange rates is accounted for.

Date: 1991-12
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