Ayuso, Juan; Dolado, Juan J.; Sosvilla-Rivero, Simón - C.E.P.R. Discussion Papers - 1992
This paper applies recent cointegration techniques to analyse whether the forward market for the peseta/US dollar is efficient in both the one-month and the three-month segments of the market. Under the assumption of rationality, the premiums are small and they suggest a possible linear...