Re-Interpreting the Failure of Foreign Exchange Market Efficiency Tests:Small Transaction Costs, Big Hysteresis Bands
收藏NBER1990-04-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w3319
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资源简介：
Small transaction costs and uncertainty imply that optimal cross-currency interest rate speculation is marked by a first-order hysteresis band. Consequently uncovered interest parity does not hold and market efficiency tests based on it are misspecified. Indeed measured prediction errors are a
提供机构：
美国国家经济研究局
创建时间：
1990-04-01
