Cross arbitrage and specification in exchange rate models

Smith, Ron P. and Hunter, J. (1985) Cross arbitrage and specification in exchange rate models. Economics Letters 18 (4), pp. 375-376. ISSN 0165-1765.

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Official URL: https://doi.org/10.1016/0165-1765(85)90056-4

Abstract

Triangular arbitrage between currencies imposes strong restrictions on the specification of exchange rate equations, which do not seem to have been noted in the literature. The form of these restrictions and the ways in which they can be allowed for are examined.

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Item Type:	Article
School:	School of Business, Economics & Informatics > Economics, Mathematics and Statistics
Depositing User:	Sarah Hall
Date Deposited:	10 Nov 2020 19:06
Last Modified:	01 Dec 2021 16:30
URI:	https://eprints.bbk.ac.uk/id/eprint/41411

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