Black and official exchange rates in the Pacific Basin: some tests of dynamic behaviour
Black and official foreign exchange rates have co-existed for many years in a number of major Pacific Basin countries. In this paper, a framework is developed for examining the relationship between the two types of exchange rates in the cointegration and error correction context for both the short and long run. This is applied to the data over the period January 1974 to June 1992. Evidence against the standard portfolio theory of black market behaviour is found.
Year of publication: |
2000
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Authors: | Moore, Michael ; Phylaktis, Kate |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 10.2000, 4, p. 361-369
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Publisher: |
Taylor & Francis Journals |
Saved in:
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