文章基本信息

标题：The Efficiency of Foreign Exchange Markets in Pakistan: An Empirical Analysis
本地全文：下载
作者：Rizwana Bashir ; Rabia Shakir ; Badar Ashfaq 等
期刊名称：The Lahore Journal of Economics
印刷版ISSN：1811-5438
电子版ISSN：1811-5446
出版年度：2014
卷号：19
期号：1
页码：133-149
出版社：Lahore School of Economics
摘要：This study investigates the empirical relationship between spot and forward exchange rate efficiency with reference to Pakistan and the efficiency of its foreign exchange market. We use monthly data from the State Bank of Pakistan and KIBOR rates for the period July 2006 to December 2013. Our results indicate that the forward exchange rate does not fully reflect all the information available. Market players may gain the benefits of volatility speculation due to market inefficiency. Pakistan’s foreign exchange market is still small compared to those of other emerging economies, implying that substantial policy work is required.
关键词：Foreign exchange markets; forward exchange rate efficiency; efficient market hypothesis; emerging economy; real effective exchange rate; Pakistan