Publication Date
5-1996
Degree Program
Department of Economics
Degree Type
Master of Arts
Abstract
The purpose of this paper is to reexamine the efficiency condition in four foreign exchange market: U.S.—British, U.S.—Canadian, U.S.—Japanese, U.S.—German. Survey data was used to separate the risk premium arguments from irrationality. Only two markets are considered efficient based on the statistical test: U.S.—Canadian, U.S.—Japanese. Three models were conducted to explain the risk premium which is the factor causing the bias between the forward and the spot rate in the U.S.—German and the U.S.-Japanese markets. Lag Model (Model 2) turns out to be the only model that can explain the risk condition in the U.S.—Japanese market. All the three tested models could to some degree explain the risk condition in the U.S.—German market. Further analysis shows model (la) is the best.
Disciplines
Economics
Recommended Citation
Zhu, Jiamei, "A Study of the Efficiency in Four Foreign Exchange Markets Using the Survey Data" (1996). Masters Theses & Specialist Projects. Paper 862.
https://digitalcommons.wku.edu/theses/862