Ghartey, Edward, E
Author Affiliation, Ana.
Department of Economics
Exchange market efficiency: Perspectives from Jamaica, an emerging market
Kintis, Andreas A.; Koveos, Peter E.; Paraskevopoulos, Christos C.; Baltas, Nicholas C.
Money and finance in the global economy: Challenges and opportunities for the 21st century
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Studies the efficiency of the foreign exchange market (FEM) in Jamaica. The different unit root tests show that the real exchange rate exhibits a random walk. The LS and GMM of Ar(1) estimates and Wald tests indicate that the real exchange rate exhibits mixed results: random walk and mean reversion. Market fundamentals are cointegrated with the nominal exchange rate; both step-wise and modified Sims causality tests reveal mixed results, with the preponderance of the evidence supporting semi strong form FEM inefficiency. Emerging markets with floating exchange rate regimes must manage their exchange rate within bands, and intervene only under persistent speculative attacks.....