Speculative Efficiency and the Exchange Rate: Some Evidence Since the Float |
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Authors: | WARREN J. TEASE |
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Affiliation: | Reserve Bank of Australia |
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Abstract: | This paper considers whether the speculative efficiency hypothesis holds in the foreign exchange market since the floating of the Australian dollar in December 1983. For the post-float period as a whole, the speculative efficiency hypothesis can be rejected in the 30-day market but not in the 15-day or 90-day markets. Evidence of a structural change in the market in February 1985—the time of the first major depreciation - was also found. |
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