NBER Working Paper No. Since the move to generalized floating in, exchange rates between major currencies have displayed large fluctuations.

This turbulence of foreign exchange rates is an important concern of government policy and its explanation is a challenge for theories of foreign exchange market behavior.

In Section I of this paper, we document the extent of turbulence in foreign exchange markets by examining i the magnitude of short-run variations in exchange rates relative to other measures of economic variability; ii the degree of divergence between actual and expected changes in exchange rates; and iii the extent to which exchange-rate movements have diverged from movements of relative national price levels. In Section II, we provide a general explanation of this turbulence in terms of the modern "asset market theory" to exchange-rate determination.

This theory emphasizes that exchange rates, like the prices of other assets determined in organized markets, are strongly influenced by the market's expectation of future events. In this context, we also discuss the narrower technical question of "foreign exchange market efficiency.

Machine-readable bibliographic record - MARCRISBibTeX. About Us Contact Information Historical Archives. Efficiency of Foreign Exchange Markets and Measures of Turbulence Jacob A.

The Efficient Market Hypothesis (EMH) and Forex - The FX View

FrenkelMichael L. Mussa NBER Working Paper No. Hansen and Hodrick Risk Averse Forex efficient market in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models Mussa The Theory of Exchange Rate Determination Frenkel w The Collapse of Purchasing Power Parities during the s Wei and Kim w The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise? Levich w Empirical Studies of Exchange Rates: National Bureau of Economic Research, Massachusetts Ave.

Development of the American Economy. Economic Fluctuations and Growth. International Finance and Macroeconomics. International Trade and Investment. Productivity, Innovation, and Entrepreneurship. Center for Aging and Health Research CAHR.

Conference on Econometrics and Mathematical Economics CEME. Conference on Research in Income and Wealth CRIW. Disability Research Center DRC.

Retirement Research Center RRC. The Oregon Health Insurance Experiment. More summaries of NBER Meetings NBER Videos Summer Institute Forex efficient market Lectures Martin Where to buy stockfish in london Lectures Other NBER Videos Close.

Themes in NBER Research Africa Charter Schools Childhood Interventions China's Economy Commodity Prices Developments in the European Economy Energy Entrepreneurship Immigration and Innovation Inequality International Capital Flows Taxation Close. Data Boston Census Research Data Center BRDC. He is also the Mitsui Professor of Economics at M.

Denis Healy, Director of Development NBER Massachusetts Avenue Cambridge, MA ph: Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models. The Theory of Exchange Rate Determination. Price Behavior, Rate Determinationand Market Efficiency.

Error (Forbidden)

Aging Asset Pricing Behavioral Finance Children Chinese Economy Cohort Studies Corporate Finance Economics of Crime Development Economics Development of the American Economy Economic Fluctuations and Growth Education Entrepreneurship Environment and Energy Financial Risks Health Care Health Economics Household Finance.

Transporting Hydrocarbons and Economics of Energy Markets. New Developments in Long-Term Asset Management. Understanding Productivity Growth in Agriculture.

Economic Effects of State Business Taxation. James Poterbapresident James Poterba is President of the National Bureau of Economic Research. Other People Links Staff Board of Directors.