Exchange rates and ‘news’: A comment |
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Authors: | David Longworth |
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Institution: | International Department, Bank of Canada, Ottawa, Ontario K1A 0G9, Canada |
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Abstract: | Although in a world with more than two countries the error term in standard exchange market efficiency tests will be correlated across exchange rates, such information cannot be exploited in tests of market efficiency since the relevant information variables are the same in all equations and thus seemingly unrelated regression estimates are the same as ordinary least squares estimates. |
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