LONG-RUN DYNAMICS OF BLACK AND OFFICIAL EXCHANGE-RATES

This paper examines the relationships among black and official foreign exchange rates. Its primary purpose is to investigate the way in which black and official markets process information. Application of cointegration tests to the Turkish markets for US dollars and West German marks in the mid 1980s indicates that the two black markets are efficient information processors. For the black and official markets of each currency, evidence is found suggesting the possibility of overshooting by the black exchange rate. This inefficiency may not be able to be arbitraged away because of restrictions on capital flows through official channels. © 1991.