Testing efficiency of the ruble-sterling foreign-exchange market under the gold standard |
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| Authors: | Elena Goldman |
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| Institution: | (1) Department of Finance and Economics, Lubin School of Business, Pace University, One Pace Plaza, New York, NY 10038, USA |
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| Abstract: | This paper tests an efficient market hypothesis for the Russian ruble–UK sterling exchange rates in the gold standard period 1897–1913. Using Bayesian Markov Chain Monte Carlo methods it is shown how to test a weak-form market efficiency in a doubly truncated regression model with ARMA-GARCH error. The suggested model accounts for time series characteristics of the data and bounds of exchange rates caused by the gold points and government intervention. We find that the weak-form efficiency hypothesis can not be rejected for the gold standard ruble exchange rates in both St.Petersburg and London markets. |
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| Keywords: | Russian gold standard exchange rates Efficient market hypothesis Double-truncation Markov chain sampling |
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