Testing for efficiency and rationality in foreign exchange markets—a review of the literature and research on foreign exchange market efficiency and rationality with comments
نویسندگان
چکیده
This paper specifies two VAR models for testing efficiency and expectations in foreign exchange markets. The sufficient conditions for efficiency and rational expectations, by imposing restrictions on the VAR parameters, are derived. Based on these models, issues on testing efficiency and rationality are discussed with reference to previous empirical studies in the area. 2002 Elsevier Science Ltd. All rights reserved. JEL classification: F31; C32
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