DOES COMOVEMENT AMONG EXCHANGE-RATES IMPLY MARKET INEFFICIENCY

被引：13

作者：

BAFFES, J

机构：

来源：

ECONOMICS LETTERS | 1994年 / 44卷 / 03期

关键词：

D O I：

10.1016/0165-1765(93)00325-I

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper argues that, contrary to what has been reported in the empirical literature previously, cointegration between pairs of exchange rates does not necessarily rule out informational efficiency in currency markets. The basic reason is that market efficiency does not rule out predictable exchange rate movements, but only rules out arbitrage opportunities from predictable exchange rate movements as the usual parity conditions dictate.

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页码：273 / 280

页数：8

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