Originally published in 1984. This book examines two important dimensions of efficiency in the foreign exchange market using econometric techniques.
In this volume, Fredrick S. Mishkin first theoretically develops and discusses a unified econometric treatment of these models and then shows how to estimate them with an annotated computer program.
An integrated approach to recent developments in the understanding of foreign exchange markets covers the theory of efficient markets developed in finance and the models used to explain exchange rates in macroeconomics.
Do traders in futures markets make use of all relevant information and is this reflected in prices? This collection of original essays by a team of international economists considers these and other questions central to futures markets.
MacDonald , R. and Taylor , M.P. ( 1988 ) ' Testing rational expectations and efficiency in the London Metal Exchange ' , Oxford Bulletin of Economics and Statistics 50 ( 1 ) : 41–52 . Maddock , R. and Carter , M. ( 1982 ) ' A child's ...
'In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level.
[ 12 ] Baillie , R. T. , R. E. Lippens , and P. C. McMahon : " Testing Rational Expectations and Efficiency in the Foreign Exchange Market , ” Econometrica , 51 ( 1983 ) , 553-564 . [ 13 ] Bilson , J. F. O .: " The Speculative ...
In treating the risk premium as the difference between private and public sector rates of return, ... Baillie, R.T., Lippens, R.E. and McMahon, P.C. (1983) 'Testing rational expectations and efficiency in the foreign exchange market'.
"Are Foreign Exchange Forecasts Rational?" Economics Letters 24(3): 291-93. Baillie, R.T., R.E. Lippens, and P.C. McMahon (1983). "Testing Rational Expectations and Efficiency in the Foreign Exchange Market." Econometrica (May): 553-63.
The most popular tests in foreign exchange markets were those devoted to rationality and efficiency of spot currency data. The rational expectations are tested by using spot currency data and a set of currency forecast.