Tests of rational expectations and no risk premium in forward exchange markets
Publication
, Journal Article
Hsieh, DA
Published in: Journal of International Economics
January 1, 1984
This paper tests the simple efficiency hypothesis, i.e. that traders have rational expectations and charge no risk premium in the forward exchange market. It uses a statistical procedure which is consistent under a large class of heteroscedasticity, and a set of data which takes into account the institutional features of the forward exchange market. The results show that this procedure leads to stronger rejections of the simple efficiency hypothesis than do procedures using the standard assumption of homoscedasticity. © 1984.
Duke Scholars
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Published In
Journal of International Economics
DOI
ISSN
0022-1996
Publication Date
January 1, 1984
Volume
17
Issue
1-2
Start / End Page
173 / 184
Related Subject Headings
- Economics
- 14 Economics
Citation
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Hsieh, D. A. (1984). Tests of rational expectations and no risk premium in forward exchange markets. Journal of International Economics, 17(1–2), 173–184. https://doi.org/10.1016/0022-1996(84)90013-8
Hsieh, D. A. “Tests of rational expectations and no risk premium in forward exchange markets.” Journal of International Economics 17, no. 1–2 (January 1, 1984): 173–84. https://doi.org/10.1016/0022-1996(84)90013-8.
Hsieh DA. Tests of rational expectations and no risk premium in forward exchange markets. Journal of International Economics. 1984 Jan 1;17(1–2):173–84.
Hsieh, D. A. “Tests of rational expectations and no risk premium in forward exchange markets.” Journal of International Economics, vol. 17, no. 1–2, Jan. 1984, pp. 173–84. Scopus, doi:10.1016/0022-1996(84)90013-8.
Hsieh DA. Tests of rational expectations and no risk premium in forward exchange markets. Journal of International Economics. 1984 Jan 1;17(1–2):173–184.
Published In
Journal of International Economics
DOI
ISSN
0022-1996
Publication Date
January 1, 1984
Volume
17
Issue
1-2
Start / End Page
173 / 184
Related Subject Headings
- Economics
- 14 Economics