LONG-RUN DYNAMICS OF BLACK AND OFFICIAL EXCHANGE-RATES

被引:30
作者
BOOTH, GG
MUSTAFA, C
机构
[1] Department of Finance, College of Business Administration, Louisiana State University, Baton Rouge
关键词
D O I
10.1016/0261-5606(91)90017-E
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
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.
引用
收藏
页码:392 / 405
页数:14
相关论文
共 30 条
[1]  
ATLAY O, 1987, EC RES B, P53
[2]   COMMON STOCHASTIC TRENDS IN A SYSTEM OF EXCHANGE-RATES [J].
BAILLIE, RT ;
BOLLERSLEV, T .
JOURNAL OF FINANCE, 1989, 44 (01) :167-181
[3]   INTERPRETING COINTEGRATED MODELS [J].
CAMPBELL, JY ;
SHILLER, RJ .
JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1988, 12 (2-3) :505-522
[4]   COINTEGRATION AND TESTS OF PURCHASING POWER PARITY [J].
CORBAE, D ;
OULIARIS, S .
REVIEW OF ECONOMICS AND STATISTICS, 1988, 70 (03) :508-511
[5]   PURCHASING POWER PARITY AND BLACK-MARKET EXCHANGE-RATES [J].
CULBERTSON, WP .
ECONOMIC INQUIRY, 1975, 13 (02) :287-296
[6]   ECONOMETRIC MODELING OF THE AGGREGATE TIME-SERIES RELATIONSHIP BETWEEN CONSUMERS EXPENDITURE AND INCOME IN THE UNITED-KINGDOM [J].
DAVIDSON, JEH ;
HENDRY, DF ;
SRBA, F ;
YEO, S .
ECONOMIC JOURNAL, 1978, 88 (352) :661-692
[7]   DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT [J].
DICKEY, DA ;
FULLER, WA .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1979, 74 (366) :427-431
[8]   THE BLACK-MARKET FOR DOLLARS IN BRAZIL [J].
DORNBUSCH, R ;
DANTAS, DV ;
PECHMAN, C ;
ROCHA, RDR ;
SIMOES, D .
QUARTERLY JOURNAL OF ECONOMICS, 1983, 98 (01) :25-40
[9]  
EKEN S, 1988, CENTRAL BANK TURKEY, P3