UNSPECIFIED (1994) EXCESS RETURNS IN A SMALL OPEN-ECONOMY. ECONOMIC RECORD, 70 (211). pp. 381-396. ISSN 0013-0249

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Abstract

This paper presents detailed analysis of a very unusual event-a recent six-year period during which big excess returns were earned on the short-term interest-bearing assets of a small open economy: Australia. A risk premium does not explain the excess return. Rather than requiring a risk premium, market participants continually expected significant real depreciation of the Australian dollar, despite the fact that on average it appreciated in real terms. Our results may be a consequence of the foreign exchange market only gradually learning about the changed nature of the world capital market in the 1980s.

Item Type:	Journal Article
Subjects:	H Social Sciences > HC Economic History and Conditions
Journal or Publication Title:	ECONOMIC RECORD
Publisher:	ECONOMIC SOC OF AUSTRALIA BROWN PRIOR ANDERSON PTY LTD
ISSN:	0013-0249
Date:	December 1994
Volume:	70
Number:	211
Number of Pages:	16
Page Range:	pp. 381-396
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/19865

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