BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Czech Katarzyna Anna (Szkoła Główna Gospodarstwa Wiejskiego w Warszawie), Waszkowski Adam (Szkoła Główna Gospodarstwa Wiejskiego w Warszawie)
Foreign Exchange Market Efficiency : Empirical Results for the USD/EUR Market
e-Finanse, 2012, vol. 8, nr 3, s. 1-9, tab., bibliogr. 16 poz.
Słowa kluczowe
Efektywność, Rynek walutowy, Waluta
Effectiveness, Foreign Exchange (FX), Currencies
The aim of the paper is to verify whether the USD/EUR exchange rate market is efficient. The fundamental parity condition for testing foreign exchange market efficiency is represented by the uncovered interest-rate parity (UIP). Therefore, the UIP hypothesis verification accounts for the crucial part of the paper. The efficiency of the USD/EUR market is tested by applying the conventional UIP regression approach and orthogonality test of the forward rate forecast error. The results show that it is hard to say definitely that USD/EUR foreign exchange market is inefficient. The slope coefficient in UIP regression occurs to be negative, which implies the failure of uncovered interest-rate parity. However, there are no foundations to reject the UIP hypotheses in the time of financial crisis of 21st century. Moreover, the article presents that the forward forecast error is not orthogonal to both its lagged value and the interest rate differential. Thus, the semi-strong foreign exchange market efficiency hypothesis is rejected for the USD/EUR market. (original abstract)
Pełny tekst
  1. Alexius, A. (2001). Uncovered Interest Parity Revisited. Review of International Economics, 9 (3), 505-517.
  2. Bansal, R., Dahlquist, M. (2000). The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies. Journal of International Economics, 51, 115-144.
  3. Chinn, M. D., Meredith, G. (2005). Testing Uncovered Interest Parity at Short and Long Horizons During the Post-Bretton Woods Era. National Bureau of Economic Research Working Paper, 11077, 1-28.
  4. Clarida, R. H., Taylor, M. P. (1997). The Term Structure of Forward Exchange Premiums and the Forecastability of Spot Exchange Rates: Correcting the Errors. Review of Economics and Statistics, 79 (3), 353-361.
  5. Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25 (2), 383- 417.
  6. Fama, E. F. (1984). Forward and Spot Exchange Rates. Journal of Monetary Economics, 14, 319-338.
  7. Flood, R. P., Rose, A. K. (2002). Uncovered Interest Parity in Crisis. International Monetary Fund Staff Papers, 49 (2), 252- 266.
  8. Froot, K. A., Frankel, J. A. (1989). Forward Discount Bias: Is it an Exchange Risk Premium? The Quarterly Journal of Economics, 104, 139- 161.
  9. Froot, K. A., Thaler, R. H. (1990). Anomalies: Foreign Exchange. The Journal of Economic Perspectives, 4 (3), 179-192.
  10. Hakkio, C. S. (1981). Expectations and the Forward Exchange Rate. International Economic Review, 22 (3), 663-678.
  11. Hansen, L. P., Hodrick, R. J. (1980). Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis. Journal of Political Economy, 88 (5), 829-853.
  12. Lothian, J. R., Wu, L. (2011). Uncovered Interest-Rate Parity Over the Past Two Centuries. Journal of International Money and Finance, 30, 448-473.
  13. McCallum, B. T. (1994). A Reconsideration of the Uncovered Interest Parity Relationship. Journal of Monetary Economics, 33, 105-132.
  14. Nguyen, T. (2000). Foreign Exchange Market Efficiency, Speculators, Arbitrageurs and International Capital Flows. Policy Discussion Paper of Centre for International Economic Studies, Australia, 0033, 1-47.
  15. Olmo, J., Pilbeam, K. (2011). Uncovered Interest Parity and the Efficiency of the Foreign Exchange Market: A Re-examination of the Evidence. International Journal of Finance and Economics, 16, 189-204.
  16. Sarno, L., Taylor, M. P. (2002). The Economics of Exchange Rates. London: Cambridge University Press.
Cytowane przez
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu