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Anomalies: Foreign Exchange
Open accessAbstract
In what follows, we discuss the efficiency of foreign exchange markets. To manage what would otherwise be an enormous task, the question of efficiency is viewed below from the perspective of a single type of test: the test for what is called the forward discount bias. This test is easy to understand, and since it strongly rejects the null hypothesis, statistical power is not an issue. Naturally, in discussing this particular test we mention a variety of other empirical work designed to shed light on alternative explanations of the results.
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Citations
Cited by
Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach
Kim, S., & Roubini, N. (2000) · Journal of Monetary Economics · doi:10.1016/s0304-3932(00)00010-6 · Cited by 915
The Effect of Fixed Exchange Rates on Monetary Policy
Shambaugh, J. C. (2004) · The Quarterly Journal of Economics · doi:10.1162/003355304772839605 · Cited by 760
What do we learn from the price of crude oil futures?
Alquist, R., & Kilian, L. (2010) · Journal of Applied Econometrics · doi:10.1002/jae.1159 · Cited by 744
Koijen, R. S. J., Moskowitz, T. J., Pedersen, L. H., & Vrugt, E. B. (2018) · Journal of Financial Economics · doi:10.1016/j.jfineco.2017.11.002 · Cited by 286
Technical trading: is it still beating the foreign exchange market?
Hsu, P.-H., Taylor, M. P., & Wang, Z. (2016) · Journal of International Economics · doi:10.1016/j.jinteco.2016.03.012 · Cited by 113
Metadata
- Authors
- Froot, K. A., & Thaler, R. H.
- Venue
- Journal of Economic Perspectives
- Publisher
- American Economic Association
- Published
- 1990-08-01
- Volume
- 4
- Issue
- 3
- Pages
- 179-192
- ISSN
- 0895-3309 (ISSN-L)
- OpenAlex
- W2067790650
- Cited by
- 890
- References
- 0
- FWCI
- 29.85
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Froot, K. A., & Thaler, R. H. (1990). Anomalies: Foreign Exchange. Journal of Economic Perspectives. https://doi.org/10.1257/jep.4.3.179
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Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
