Predictability of the black and official exchange rates of North American Free Trade Agreement partners
by Shuming Bai, Kai S. Koong, Lai C. Liu, Bin Wang
International Journal of Sustainable Economy (IJSE), Vol. 1, No. 1, 2008

Abstract: Currency stability is a critical component in global commerce. This study examines the informational efficiency of the black and official exchange markets in the North American Free Trade Agreement partners. Using a series of non-parametric as well as time series models, this study finds that the black market information exhibits a non-random behaviour. The results can have implications for business executives who must deal with exchange rate risks and accumulate wealth. For policy-makers, this study shows that the black market exchange rates can be a useful guide for setting the official rates to ensure economic growth and sustainability.

Online publication date: Thu, 21-Aug-2008

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