Trefor Jones

Testing for efficiency and rationality in foreign exchange markets—a review of the literature and research on foreign exchange market efficiency and rationality with comments

Abstract This paper specifies two VAR models for testing efficiency and expectations in foreign exchange markets. The sufficient conditions for efficiency and rational expectations, by imposing restrictions on the VAR parameters, are derived. Based on these models, issues on testing efficiency and rationality are discussed with reference to previous empirical studies in the area.

Money, inflation and causality in a financially repressed economy: Algeria, 1970—88

The objective of the paper is to replicate tests identifying the line of causality between the money supply and the rate of inflation using Algerian date for the period 1970–88, and provide new evidence for a developing economy. The methodology adopted is that of Granger and the results show that there is a very strong relationship between the money supply and the rate of inflation with the line of causation being unidirectional, that is, from the money supply to inflation with no feedback effects.

Privatisation and the European Union: The case of the Public Power Corporation of Greece

Over the last 20 to 30 years, privatisation has become a world‐wide phenomenon. This article explores the rationale for and changing nature of privatisation. In particular, it draws attention to the range of definitions of “privatisation” and the differing views on its effectiveness in providing improved services to consumers. The main focus of the article is a study of the privatisation of the Public Power Corporation (PPC) of Greece. Examines why and how it was privatised and discusses its future as a private enterprise. It shows that the structure and operation of the privatised PPC and the liberalisation of the Greek electricity market were, and will continue to be, determined principally by the EUs commitment to free market competition.

Efficiency and farm size in Egypt: a unit output price profit function approach

The main objective of this study is to analyse size and efficiency in Egyptian agriculture using an econometric approach, free of the problem of simultaneous equation bias, associated with the production function technique. The identification of factors which affect farm level productivity in the study area are also considered. The results reveal that the efficiency of management in both large and small farms is the same; and that large farms appear not to be more efficient than small farms. The study also indicates that increasing the ulitilization of cultivated land and machinery service and raising the output price are important if production is to increase.

The impossibility of meaningful efficient market parameters in testing for the spot-forward relationship in foreign exchange markets

Abstract This study demonstrates that it does not matter whether the estimated parameters have the correct or wrong signs and sizes—the outcome is empirically the same. Moreover, the commonly used hypothesis of testing for market efficiency and rationality is helpless, under the real world circumstances of exchange rate data. It is impossible to use this hypothesis to judge market efficiency.

A different approach to estimating betas of securities subject to thin trading and serial correlation

This paper enquires whether the parameters of asset pricing models can be better represented by cointegration analysis to correct the bias in β estimates. Due to the existence of correlation in lagged series, cointegration analysis, or regression in levels, would produce better estimates of asset pricing model parameters than the regressional analysis of rates of return if the series are cointegrated. In addition, the estimation is empirically simpler.