Testing the Efficiency of the Foreign Exchange Market when the Base Currency is Pegged to a Basket

外匯市場效率性之檢定－當基準貨幣採釘住貨幣組合時

10.6545/JoFS.1996.4(1).1

Imad A. Moosa

市場效率性 ； 不偏性 ； 共整合 ； 匯率協定 ； Market Efficiency ； Unbiasedness ； Cointegration ； Exchange Rate Arrangements

中國財務學刊

4卷1期（1996 / 07 / 31）

1 - 21

英文

我們對科威特貨幣dinar（KD）與其釘住貨幣組合之四種主要貨幣的市場內與跨市場匯率效率性進行檢定。根據科威特中央銀行（CBK）採行之匯率協定實證結果支持上述兩種效率性。我們也發現即使CBK並未嚴格執行KD之釘住政策，其仍致力於匯率穩定以爭取國際之信任。

Within-market and cross-sectional efficiency are tested using the exchange rates of the Kuwaiti dinar (KD) against the four major currencies which are believed to be the components of the basket to which this currency is pegged. The empirical results, which support both kinds of efficiency, are examined in the light of the exchange rate arrangement adopted by the Central Bank of Kuwait (CBK). It is also concluded that while the CBK has not adhered strictly to the basket to which the KD is pegged, it has endeavoured to maintain credibility with respect to its objective of exchange rate stability.