EXCESS RETURNS IN A SMALL OPEN-ECONOMY
UNSPECIFIED. (1994) EXCESS RETURNS IN A SMALL OPEN-ECONOMY. ECONOMIC RECORD, 70 (211). pp. 381-396. ISSN 0013-0249Full text not available from this repository.
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|
|Number of Pages:||16|
|Page Range:||pp. 381-396|
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