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EXCESS RETURNS IN A SMALL OPEN-ECONOMY
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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 | ||||
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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 | ||||
Official Date: | December 1994 | ||||
Dates: |
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Volume: | 70 | ||||
Number: | 211 | ||||
Number of Pages: | 16 | ||||
Page Range: | pp. 381-396 | ||||
Publication Status: | Published |
Data sourced from Thomson Reuters' Web of Knowledge
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